The aim of the paper is to find the univariate stationary distribution of a particular bilinear process. In this context, we propose a novel approach to derive the distribution function. It is based on a recursive formula and allows to relax the conditions on the moments of the process.We also show that the derived approximation converges to the “true” distribution function. The accuracy of the recursive formula is evaluated for finite sample dimensions by a small simulation study.
The Univariate Distribution function for a particular Bilinear Model
GIORDANO, Francesco
2004
Abstract
The aim of the paper is to find the univariate stationary distribution of a particular bilinear process. In this context, we propose a novel approach to derive the distribution function. It is based on a recursive formula and allows to relax the conditions on the moments of the process.We also show that the derived approximation converges to the “true” distribution function. The accuracy of the recursive formula is evaluated for finite sample dimensions by a small simulation study.File in questo prodotto:
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