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

DOI10.1239/AAP/1300198512zbMATH Open1238.62101OpenAlexW2059073735MaRDI QIDQ2996569FDOQ2996569

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

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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)

Cites Work

• Markov chains and stochastic stability
• General Irreducible Markov Chains and Non-Negative Operators
• Title not available (Why is that?)
• Stationarity and the existence of moments of a family of GARCH processes.
• On a threshold autoregression with conditional heteroscedastic variances
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Stability of nonlinear AR-GARCH models
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• Correction

Cited In (1)

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

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