Iterative methods for calculation of stationary density in some autoregressive models

Abstract

The paper deals with methods of calculating the stationary density in some autoregressive models of time series. Exact solution of this problem is known in only few special cases.

We study algorithms which approximate such solution. In the final part we apply results to the problem of computing the stationary density in nonlinear model of absolute autoregression.

Keywords

• Iterative
• methods
• calculation
• stationary
• density
• autoregressive
• models