Existence of moments> Existence of distribution?by RolandBerg Tags: measure theory, stationarity, statistics, stochastics, time series 

#1
Jan1413, 10:16 AM

P: 1

Hi all,
this might come to you as a bit silly, because normally we are used to the viceversa question. But here is what I have: a nonlinear timeseries model, for which I can derive by infinite backwards iteration the mean and a limiting bound for variance. Now I just want to say that therefore a stationary distribution must exist. Is this true? Any deep reason why? [Of course moments are derived in terms of the distribution in the first place, but is this the argument?] 


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