We introduce a class of nonlinear dynamic processes, called compound au- toregressive (CAR), and characterized by the conditional log-Laplace trans- forms which are aÆne functions of the lagged values of the process. The CAR processes resemble the linear autoregressive processes in that their forecasting distributions at all horizons admit analytical expressions, and can be used to derive the ergodicity conditions, the stationary distribution, as well as the ltering formula.
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Paper provided by Institut National de la Statistique et des Etudes Economiques- in its series Papers with number
2001-20.
Length: 60 pages Date of creation: 2001 Date of revision: Handle: RePEc:fth:inseep:2001-20
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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