Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
Jean Diebolt, Dominique Guégan · Journal of Applied Probability · 1993
We examine the main properties of the Markov chainXt=T(Xt– 1) + σ(Xt– 1)εt. Under general and tractable assumptions, we derive bounds for the tails of the stationary density of the process {Xt} in terms of the common density of theεt's.