On the law of large numbers for (geometrically) ergodic Markov chains

DOI10.1017/S0266466607070326MaRDI QIDQ2886965zbMATH OpenOpenAlexFDO

Authors Søren Tolver Jensen, Anders Rahbek

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466607070326

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15) Discrete-time Markov processes on general state spaces (60J05)

Recommendations

• On the central limit theorem for geometrically ergodic Markov chains
• The geometry of Markov chain limit theorems
• A note on the geometric ergodicity of a Markov chain
• scientific article; zbMATH DE number 4038960
• scientific article; zbMATH DE number 1531952
• Geometric ergodicity for classes of homogeneous Markov chains
• scientific article; zbMATH DE number 4078434
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• Extremal indices, geometric ergodicity of Markov chains and MCMC

Cites work

• A maximal inequality and dependent strong laws
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Chi-Square Diagnostic Tests for Econometric Models: Theory
• Non-linear time series and Markov chains

Cited in

(15)

• Global linear convergence of evolution strategies with recombination on scaling-invariant functions
• Autoregressive and moving average models for zero‐inflated count time series
• Estimation and asymptotic inference in the AR-ARCH model
• Cointegration rank testing under conditional heteroskedasticity
• On robust estimation of negative binomial INARCH models
• Likelihood-based inference for cointegration with nonlinear error-correction
• Method of moments estimation of GO-GARCH models
• Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
• A quantitative McDiarmid's inequality for geometrically ergodic Markov chains
• scientific article; zbMATH DE number 4038960 (Why is no real title available?)
• Asymptotic normality of the MLE in the level-effect ARCH model
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Nonlinear Poisson autoregression
• Testing for parameter stability in nonlinear autoregressive models
• Robust fitting of INARCH models

This page was built for publication: On the law of large numbers for (geometrically) ergodic Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886965)