A note on the geometric ergodicity of a nonlinear AR-ARCH model

DOI10.1016/j.spl.2009.12.020zbMath1185.62160MaRDI QIDQ962021

Pentti Saikkonen, Mika Meitz

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/45455

Mathematics Subject Classification ID

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

62J02: General nonlinear regression

62B10: Statistical aspects of information-theoretic topics

Cites Work

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