Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes (Q5467622): Difference between revisions

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scientific article; zbMATH DE number 5026148

Language	Label	Description	Also known as
English	Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes	scientific article; zbMATH DE number 5026148

Statements

instance of

scholarly article

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title

Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes (English)

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zbMATH Open document ID

1092.62091

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DOI

10.1111/j.1467-9892.2005.00412.x

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author

Eckhard Liebscher

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published in

Journal of Time Series Analysis

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publication date

24 May 2006

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Mathematics Subject Classification ID

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beta-mixing

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threshold ARCH model

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exponential ARCH model

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spectral radius

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2005.00412.x

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OpenAlex ID

W3124353475

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cites work

A note on the ergodicity of nonlinear autoregressive model

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On geometric ergodicity of nonlinear autoregressive models

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Computationally Efficient Approximations of the Joint Spectral Radius

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Mixing Conditions for Markov Chains

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Mixing: Properties and examples

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Computing the joint spectral radius

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Non‐linear GARCH models for highly persistent volatility

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Asymptotics of a class of \(p\)th-order nonlinear autoregressive processes

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Estimating the density of the residuals in autoregressive models

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Central limit theorems for \(\alpha\)-mixing triangular arrays with applications to nonparametric statistics

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Markov chains and stochastic stability

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Q3772989

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Mixing properties of ARMA processes

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Study of Risks of Kernel Estimators

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General Irreducible Markov Chains and Non-Negative Operators

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Asymptotic stability and generalized Gelfand spectral radius formula

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Estimation in nonlinear time series models

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Q3999154

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The Lyapunov exponent and joint spectral radius of pairs of matrices are hard - when not impossible - to compute and to approximate

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Sitelinks

Mathematics(1 entry)

mardi Publication:5467622

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+A note on the ergodicity of nonlinear autoregressive model
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+On geometric ergodicity of nonlinear autoregressive models
+Normal rank
@@ Property / cites work @@
+Computationally Efficient Approximations of the Joint Spectral Radius
+Normal rank
@@ Property / cites work @@
+Mixing Conditions for Markov Chains
@@ Property / cites work: Mixing Conditions for Markov Chains / rank @@
+Normal rank
@@ Property / cites work @@
+Mixing: Properties and examples
@@ Property / cites work: Mixing: Properties and examples / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the joint spectral radius
@@ Property / cites work: Computing the joint spectral radius / rank @@
+Normal rank
@@ Property / cites work @@
+Non‐linear GARCH models for highly persistent volatility
+Normal rank
@@ Property / cites work @@
+Asymptotics of a class of \(p\)th-order nonlinear autoregressive processes
+Normal rank
@@ Property / cites work @@
+Estimating the density of the residuals in autoregressive models
+Normal rank
@@ Property / cites work @@
+Central limit theorems for \(\alpha\)-mixing triangular arrays with applications to nonparametric statistics
+Normal rank
@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
+Normal rank
@@ Property / cites work @@
+Q3772989
@@ Property / cites work: Q3772989 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixing properties of ARMA processes
@@ Property / cites work: Mixing properties of ARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+Study of Risks of Kernel Estimators
@@ Property / cites work: Study of Risks of Kernel Estimators / rank @@
+Normal rank
@@ Property / cites work @@
+General Irreducible Markov Chains and Non-Negative Operators
+Normal rank
@@ Property / cites work @@
+Asymptotic stability and generalized Gelfand spectral radius formula
+Normal rank
@@ Property / cites work @@
+Estimation in nonlinear time series models
@@ Property / cites work: Estimation in nonlinear time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999154
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+Normal rank
@@ Property / cites work @@
+The Lyapunov exponent and joint spectral radius of pairs of matrices are hard - when not impossible - to compute and to approximate
+Normal rank
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+Publication:5467622