The tail of the stationary distribution of a random coefficient AR(q) model
Claudia Kluppelberg, Serguei Pergamenchtchikov
Abstract
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the model is in distribution equivalent to an autoregressive process with ARCH errors. Hence, we obtain the tail behavior of any such model of arbitrary order.
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