On the geometric ergodicity of nonlinear multivariate time series
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Publication:6231709
arXiv1203.3984MaRDI QIDQ6231709FDOQ6231709
Authors: Marco Ferrante, Giovanni Fonseca 
Publication date: 18 March 2012
Abstract: In this paper we consider multivariate time series obtained as solution to multidimensional nonlinear stochastic difference equations whose coefficients are allowed to be locally degenerate and to present discontinuities. We provide simple and easy to check sufficient conditions for the irreducibility, T-chain regularity and geometric ergodicity of these processes and apply the results to the BEKK-ARCH(1) models with a nonlinear autoregressive term.
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
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