Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process

Clusters 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 stochasti...

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Autores:
Nieto, Fabio
Moreno, Edna C.
Tipo de recurso:
Article of journal
Fecha de publicación:
2016
Institución:
Universidad Nacional de Colombia
Repositorio:
Universidad Nacional de Colombia
Idioma:
spa
OAI Identifier:
oai:repositorio.unal.edu.co:unal/66516
Acceso en línea:
https://repositorio.unal.edu.co/handle/unal/66516
http://bdigital.unal.edu.co/67544/
Palabra clave:
51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Conditional heteroscedasticity
Nonlinear stochastic process
Open-loop TAR model
Stationary nonlinear stochastic process
Heterocedasticidad condicional
Modelo TAR sin retroalimentación
Proceso estocástico no lineal estacionario.
Rights
openAccess
License
Atribución-NoComercial 4.0 Internacional
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spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Nieto, Fabiode4bc8d7-082a-4524-a345-4872882c7100300Moreno, Edna C.d71e96da-9fb8-419c-9857-6bc39f86911a3002019-07-03T02:17:01Z2019-07-03T02:17:01Z2016-07-01ISSN: 2389-8976https://repositorio.unal.edu.co/handle/unal/66516http://bdigital.unal.edu.co/67544/Clusters 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.En 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 retroalimentaciónapplication/pdfspaUniversidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadísticahttps://revistas.unal.edu.co/index.php/estad/article/view/58912Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de EstadísticaRevista Colombiana de EstadísticaNieto, Fabio and Moreno, Edna C. (2016) Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process. Revista Colombiana de Estadística, 39 (2). pp. 149-165. ISSN 2389-897651 Matemáticas / Mathematics31 Colecciones de estadística general / StatisticsConditional heteroscedasticityNonlinear stochastic processOpen-loop TAR modelStationary nonlinear stochastic processHeterocedasticidad condicionalModelo TAR sin retroalimentaciónProceso estocástico no lineal estacionario.Univariate Conditional Distributions of an Open-Loop TAR Stochastic ProcessArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTORIGINAL58912-300489-2-PB.pdfapplication/pdf1068680https://repositorio.unal.edu.co/bitstream/unal/66516/1/58912-300489-2-PB.pdfdd7cfe267df958250bc9d6e9f6d8fd0eMD51THUMBNAIL58912-300489-2-PB.pdf.jpg58912-300489-2-PB.pdf.jpgGenerated Thumbnailimage/jpeg5420https://repositorio.unal.edu.co/bitstream/unal/66516/2/58912-300489-2-PB.pdf.jpgcf7ce7f05853f4f7b51e111f8cc3c240MD52unal/66516oai:repositorio.unal.edu.co:unal/665162023-05-25 23:03:04.482Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
title Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
spellingShingle Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Conditional heteroscedasticity
Nonlinear stochastic process
Open-loop TAR model
Stationary nonlinear stochastic process
Heterocedasticidad condicional
Modelo TAR sin retroalimentación
Proceso estocástico no lineal estacionario.
title_short Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
title_full Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
title_fullStr Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
title_full_unstemmed Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
title_sort Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
dc.creator.fl_str_mv Nieto, Fabio
Moreno, Edna C.
dc.contributor.author.spa.fl_str_mv Nieto, Fabio
Moreno, Edna C.
dc.subject.ddc.spa.fl_str_mv 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
topic 51 Matemáticas / Mathematics
31 Colecciones de estadística general / Statistics
Conditional heteroscedasticity
Nonlinear stochastic process
Open-loop TAR model
Stationary nonlinear stochastic process
Heterocedasticidad condicional
Modelo TAR sin retroalimentación
Proceso estocástico no lineal estacionario.
dc.subject.proposal.spa.fl_str_mv Conditional heteroscedasticity
Nonlinear stochastic process
Open-loop TAR model
Stationary nonlinear stochastic process
Heterocedasticidad condicional
Modelo TAR sin retroalimentación
Proceso estocástico no lineal estacionario.
description Clusters 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.
publishDate 2016
dc.date.issued.spa.fl_str_mv 2016-07-01
dc.date.accessioned.spa.fl_str_mv 2019-07-03T02:17:01Z
dc.date.available.spa.fl_str_mv 2019-07-03T02:17:01Z
dc.type.spa.fl_str_mv Artículo de revista
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dc.identifier.issn.spa.fl_str_mv ISSN: 2389-8976
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/66516
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/67544/
identifier_str_mv ISSN: 2389-8976
url https://repositorio.unal.edu.co/handle/unal/66516
http://bdigital.unal.edu.co/67544/
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.spa.fl_str_mv https://revistas.unal.edu.co/index.php/estad/article/view/58912
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Revistas electrónicas UN Revista Colombiana de Estadística
Revista Colombiana de Estadística
dc.relation.references.spa.fl_str_mv Nieto, Fabio and Moreno, Edna C. (2016) Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process. Revista Colombiana de Estadística, 39 (2). pp. 149-165. ISSN 2389-8976
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
dc.rights.uri.spa.fl_str_mv http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.mimetype.spa.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadística
institution Universidad Nacional de Colombia
bitstream.url.fl_str_mv https://repositorio.unal.edu.co/bitstream/unal/66516/1/58912-300489-2-PB.pdf
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repository.name.fl_str_mv Repositorio Institucional Universidad Nacional de Colombia
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