On stability of nonlinear AR processes with Markov switching

DOI10.1239/AAP/1013540170MaRDI QIDQ4507946zbMATH OpenOpenAlexFDO

Authors Jean-Gabriel Attali, Jian-Feng Yao

Publication date 28 May 2001

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1013540170

zbMATH Keywords

Lyapunov functionsMarkov switchingnonlinear autoregressive modelstability problem

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(32)

• On the stationary law of a nonlinear autoregressive Markov chain
• On least squares estimation for stable nonlinear AR processes
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Stability of a random diffusion with nonlinear drift
• Misspecified structural change, threshold, and Markov-switching models.
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• Exponential forgetting of smoothing distributions for pairwise Markov models
• Stability analysis of switched ARX models and application to learning with guarantees
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• Blockwise bootstrap testing for stationarity
• Some theoretical results on Markov-switching autoregressive models with gamma innovations
• A proof of consistency of the MLE for nonlinear Markov-switching AR processes
• Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
• On the Markov-switching bilinear processes: stationarity, higher-order moments and -mixing
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Stabilité des modèles AR fonctionnels à régime markovien
• Linear diffusion with stationary switching regime
• scientific article; zbMATH DE number 2065863 (Why is no real title available?)
• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Hidden Markov mixture autoregressive models: stability and moments
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• First-order integer-valued autoregressive process with Markov-switching coefficients
• Linear autoregressive models
• Asymptotic analysis of temporal-difference learning algorithms with constant step-sizes
• Asymptotic analysis of temporal-difference learning algorithms with constant step-sizes
• Stationarity and ergodic properties for some observation-driven models in random environments
• Spectral representation of Markov-switching bilinear processes
• Covariance analysis and GMM estimation of Markov switching bilinear processes
• A general autoregressive model with Markov switching: estimation and consistency
• Tail behaviour and extremes of two-state Markov-switching autoregressive models
• Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

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