An autoregressive model leading to stable distributions

2015/05/26 by Klebanov, Lev B., Temnov, Gregory, Kakosyan, Ashot
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1505.06873

Abstract

We construct an autoregressive model with random coefficients that has a stationary distribution after proper normalization. This limit distribution is found to be stable.

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