Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes) (Q918565)

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Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
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    Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes) (English)
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    1990
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    The mixing and the ergodicity of a Markov-chain \((Z_ n)\) is studied. A continuity theorem for the image of a measure by a polynomial application is proved. Using this result, simple sufficient conditions for the chain \((Z_ n)\) to be Harris recurrent, geometrically ergodic and geometrically absolutely regular are obtained. The last part contains applications of the results to the ARMA processes and the bilinear processes.
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    mixing properties
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    polynomial autoregressive processes
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    continuity theorem
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    image of a measure
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    Harris recurrent
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    geometrically ergodic
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    geometrically absolutely regular
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    ARMA processes
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    bilinear processes
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