Univariate conditional distributions of an Open-Loop TAR stochastic process

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dc.contributor.authorNieto, Fabio H.spa
dc.contributor.authorMoreno, Edna C.spa
dc.coverage.campusCRAI-USTA Bogotáspa
dc.date.accessioned2019-12-04T14:21:55Zspa
dc.date.available2019-12-04T14:21:55Zspa
dc.date.issued2016-07-01spa
dc.descriptionEn trayectorias de un proceso estocástico autoregresivo de umbrales (TAR), sin retroalimentación, se observan conglomerados de valores extremos. Con el fin de caracterizar el mecanismo probabilístico que los genera, en este artículo se estudian tres tipos de distribuciones marginales condicionales del proceso subyacente. Uno de ellos permite encontrar la función de varianza condicional que explica ese hecho estilizado del proceso. Como un resultado adicional, se obtiene una condición suficiente para determinar estacionariedad débil asintótica, de un proceso TAR sin retroalimentación.spa
dc.description.abstractClusters of large values are observed in sample paths of certain open-loop threshold autoregressive (TAR) stochastic processes. In order to characterize the stochastic mechanism that generates this empirical stylized fact, three types of marginal conditional distributions of the underlying stochastic process are analyzed in this paper. One allows us to find the conditional variance function that explains the aforementioned stylized fact. As a by-product, we are able to derive a sufficient condition to have asymptotic weak stationarity in an open-loop TAR stochastic process.spa
dc.description.domainhttp://unidadinvestigacion.usta.edu.cospa
dc.format.mimetypeapplication/pdfspa
dc.identifier.doihttps://doi.org/10.15446/rce.v39n2.58912spa
dc.identifier.urihttp://hdl.handle.net/11634/20116
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dc.rightsAtribución-NoComercial-CompartirIgual 2.5 Colombia*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/2.5/co/*
dc.subject.keywordConditional heteroscedasticityspa
dc.subject.keywordNonlinear stochastic processspa
dc.subject.keywordOpen-loop TAR modelspa
dc.subject.keywordStationary nonlinear stochastic processspa
dc.subject.proposalHeterocedasticidad condicionalspa
dc.subject.proposalModelo TAR sin retroalimentaciónspa
dc.subject.proposalProceso estocástico no lineal estacionariospa
dc.titleUnivariate conditional distributions of an Open-Loop TAR stochastic processspa
dc.type.categoryGeneración de Nuevo Conocimiento: Artículos publicados en revistas especializadas - Electrónicosspa

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