A note on the ergodicity of nonlinear autoregressive model

DOI10.1016/S0167-7152(96)00204-0MaRDI QIDQ1365172zbMATH OpenOpenAlexFDO

Authors M. García

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

zbMATH Keywords

ergodicitygeometric ergodicityMarkov chainnonlinear autoregressive model

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Stochastic stability in control theory (93E15)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3624579 (Why is no real title available?)
• Non-linear time series and Markov chains
• On geometric ergodicity of nonlinear autoregressive models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations

Cited in

(26)

• Development and application of ergodicity model with FRCM and FLAR for hydrological process
• On the stationary law of a nonlinear autoregressive Markov chain
• Ergodicity of nonlinear first order autoregressive models
• Bounds on regeneration times and convergence rates for Markov chains
• Study on a class of nonlinear time series models and ergodicity in random environment domain
• A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes
• On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models
• Ergodicity of a class of nonlinear time series models in random environment domain
• scientific article; zbMATH DE number 4133247 (Why is no real title available?)
• The ergodicity of an NLAR model with stochastic delay
• Stability of nonlinear AR-GARCH models
• scientific article; zbMATH DE number 148768 (Why is no real title available?)
• scientific article; zbMATH DE number 1264289 (Why is no real title available?)
• Geometric ergodicity of nonlinear first order autoregressive models
• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Regular Perturbation of V-Geometrically Ergodic Markov Chains
• Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations
• scientific article; zbMATH DE number 1419978 (Why is no real title available?)
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• The stationarity and invertibility of a class of nonlinear ARMA models
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
• On ergodicity of threshold ARMA(m, p, q) models
• Testing for a linear MA model against threshold MA models
• Functional coefficient autoregressive models for vector time series

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