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

Aliou Diop, Saliou Diouf
DOI: 10.4236/am.2011.25067                

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.

Keywords

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

Conflicts of Interest

The authors declare no conflicts of interest.

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