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arXiv · 1505.06873

An autoregressive model leading to stable distributions

Lev B. Klebanov·Gregory Temnov·Ashot Kakosyan
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Abstract

We construct an autoregressive model with random coefficients that has a stationary distribution after proper normalization. This limit distribution is found to be stable.

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Lev B. Klebanov, Gregory Temnov, Ashot Kakosyan. 2015-05-26. An autoregressive model leading to stable distributions. https://arxiv.org/abs/1505.06873

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