Tail Behavior of Threshold Models with Innovations in the Domain of Attraction of the Double Exponential Distribution

Abstract

We consider a two-regime threshold autoregressive model where the driving noises are sequences of independent and identically distributed random variables with common distribution function which belongs to the domain of attraction of double exponential distribution. If in addition, for each and where denotes the convolution of the distribution function and we determine the tail behavior of the process and give the exact values of the coefficient.

We consider a two-regime threshold autoregressive model where the driving noises are sequences of independent and identically distributed random variables with common distribution function which belongs to the domain of attraction of double exponential distribution. If in addition, for each and where denotes the convolution of the distribution function and we determine the tail behavior of the process and give the exact values of the coefficient.

Keywords

Tail Behavior, Domain of Attraction, Convolution Tails, Stochastic Recurrence Equation, Threshold Autoregressive Model

Tail Behavior, Domain of Attraction, Convolution Tails, Stochastic Recurrence Equation, Threshold Autoregressive Model

Cite this paper

nullA. Diop and S. Diouf, "Tail Behavior of Threshold Models with Innovations in the Domain of Attraction of the Double Exponential Distribution,"*Applied Mathematics*, Vol. 2 No. 5, 2011, pp. 515-520. doi: 10.4236/am.2011.25067.

nullA. Diop and S. Diouf, "Tail Behavior of Threshold Models with Innovations in the Domain of Attraction of the Double Exponential Distribution,"

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