Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models

DOI10.1239/AAP/1300198512MaRDI QIDQ2996569zbMATHOpenAlexFDO

Authors Daren B. H. Cline

Publication date 3 May 2011

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

Full work available at URL https://doi.org/10.1239/aap/1300198512

zbMATH Keywords

ergodicityirreducibilityFeller operatornonlinear autoregressionTweedie continuity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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Cites work

• scientific article; zbMATH DE number 3479762 (Why is no real title available?)
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
• scientific article; zbMATH DE number 3394474 (Why is no real title available?)
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• Correction
• General Irreducible Markov Chains and Non-Negative Operators
• Markov chains and stochastic stability
• On a threshold autoregression with conditional heteroscedastic variances
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Stability of nonlinear AR-GARCH models
• Stationarity and the existence of moments of a family of GARCH processes.

Cited in

(1)

• Verifiable conditions for the irreducibility and aperiodicity of Markov chains by analyzing underlying deterministic models

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