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

DOI10.1016/j.spl.2009.12.020zbMath1185.62160OpenAlexW2104636762MaRDI QIDQ962021

Mika Meitz, Pentti Saikkonen

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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Discrimination, Binomials and Glass Ceiling Effects ⋮ Robustness of iterated function systems of Lipschitz maps ⋮ Wilks' theorem for semiparametric regressions with weakly dependent data ⋮ Semiparametric transition models

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• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

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