A note on the ergodicity of nonlinear autoregressive model
From MaRDI portal
Publication:1365172
DOI10.1016/S0167-7152(96)00204-0zbMath0879.62077OpenAlexW1990310026MaRDI QIDQ1365172
Publication date: 11 January 1998
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00204-0
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes (62M99) Stochastic stability in control theory (93E15)
Related Items
A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes, Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations, On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models, Stability of nonlinear AR-GARCH models, Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models, Functional coefficient autoregressive models for vector time series, The stationarity and invertibility of a class of nonlinear ARMA models, Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations, Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching, Threshold \(\text{Arch}(1)\) processes: Asymptotic inference, Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes, Testing for a linear MA model against threshold MA models
Cites Work
