Ergodicity of a class of nonlinear time series models in random environment domain

DOI10.1007/s10255-009-8245-8zbMath1192.62201OpenAlexW2071438705MaRDI QIDQ2267287

Hanjun Zhang, Gang Yang, Shao-Shun Long, Enwen Zhu, Jie Zhong Zou, Zai-Ming Liu

Publication date: 1 March 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-009-8245-8

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Processes in random environments (60K37)

Related Items (1)

Existence of stationary distributions for a class of nonlinear time series models in random environment domain

Cites Work

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• Markov chains and stochastic stability
• Analysis on adjoint non-recurrent property of nonlinear time series in random environment domain
• On geometric ergodicity of nonlinear autoregressive models
• Study on a class of nonlinear time series models and ergodicity in random environment domain
• Mean square stability of difference equations with a stochastic delay
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

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