ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

DOI10.1017/S0266466607070326zbMath1237.60023MaRDI QIDQ2886965

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

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60J05: Discrete-time Markov processes on general state spaces

60F15: Strong limit theorems

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Cites Work

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