%0 Journal Article
%T Tail Behavior of Threshold Models with Innovations in the Domain of Attraction of the Double Exponential Distribution
%A Aliou Diop
%A Saliou Diouf
%J Applied Mathematics
%P 515-520
%@ 2152-7393
%D 2011
%I Scientific Research Publishing
%R 10.4236/am.2011.25067
%X 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.
%K Tail Behavior
%K Domain of Attraction
%K Convolution Tails
%K Stochastic Recurrence Equation
%K Threshold Autoregressive Model
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=4799