Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

DOI10.2307/3315968zbMATH Open0958.62081OpenAlexW2089516883MaRDI QIDQ4527902FDOQ4527902

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

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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)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• The mixing property of bilinear and generalised random coefficient autoregressive models
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• On a threshold autoregression with conditional heteroscedastic variances
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• Non-linear time series and Markov chains
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• Ergodicity of nonlinear first order autoregressive models
• On geometric ergodicity of nonlinear autoregressive models

Cited In (23)

• 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
• Specification and structural break tests for additive models with applications to realized variance data
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Geometric recurrence of inhomogeneous Gaussian autoregression process
• Adaptive deep learning for nonlinear time series models
• Nonparametric semirecursive identification in a wide sense of strong mixing processes
• 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
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Empirical likelihood-based subset selection for partially linear autoregressive models
• Nonparametric regression for locally stationary time series
• Title not available (Why is that?)

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