Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

DOI10.2307/3315968MaRDI QIDQ4527902zbMATH OpenOpenAlexFDO

Authors Min Chen, Gemai Chen

Publication date 8 April 2001

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/787f08f84cfc21a074042107d4dcf0c8e7dabe11

zbMATH Keywords

momentsgeometric ergodicitystrong mixing propertiesdouble-threshold autoregressive modelsAR(p)-ARCH(p)ARCH(p)

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 947422 (Why is no real title available?)
• scientific article; zbMATH DE number 774844 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Non-linear time series and Markov chains
• On a threshold autoregression with conditional heteroscedastic variances
• On geometric ergodicity of nonlinear autoregressive models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• The mixing property of bilinear and generalised random coefficient autoregressive models

Cited in

(23)

• scientific article; zbMATH DE number 6027012 (Why is no real title available?)
• Parametric inference of autoregressive heteroscedastic models with errors in variables
• Mildly explosive autoregression with mixing innovations
• A note on the geometric ergodicity of a nonlinear AR-ARCH model
• Iterations of dependent random maps and exogeneity in nonlinear dynamics
• Ergodicity, geometric ergodicity and mixing conditions for nonparametric ARMA processes
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• Specification and structural break tests for additive models with applications to realized variance data
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Geometric recurrence of inhomogeneous Gaussian autoregression process
• Nonparametric semirecursive identification in a wide sense of strong mixing processes
• Adaptive deep learning for nonlinear time series models
• Extreme values statistics for Markov chains via the (pseudo-) regenerative method
• SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS
• Local linear regression with nonparametrically generated covariates for weakly dependent data
• Theory & Methods: On a Class of Nonlinear AR(P) Models with Nonlinear ARCH Errors
• A nonparametric test of conditional autoregressive heteroscedasticity for threshold autoregressive models
• On robust testing for conditional heteroscedasticity in time series models
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations
• Empirical likelihood-based subset selection for partially linear autoregressive models
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Nonparametric regression for locally stationary time series

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