Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

DOI10.1016/J.JMVA.2009.12.006MaRDI QIDQ968489zbMATH OpenOpenAlexFDO

Authors B. E. Eshmatov

Publication date 5 May 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.12.006

zbMATH Keywords

ergodicitygeometric ergodicitystate-dependent switchingnonlinear autoregressive processtwo-component Markov process

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Processes in random environments (60K37)

Recommendations

• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
• Stabilité des modèles AR fonctionnels à régime markovien
• Asymptotic properties of jump-diffusion processes with state-dependent switching
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• On stability of nonlinear AR processes with Markov switching

Cites work

• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• scientific article; zbMATH DE number 2133327 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Asymptotic Properties of Hybrid Diffusion Systems
• Asymptotic stability in distribution of stochastic differential equations with Markovian switching.
• Existence and application of optimal Markovian coupling with respect to non-negative lower semi-continuous functions
• Feller property and exponential ergodicity of diffusion processes with state-dependent switching
• Geometric Convergence Rates for Stochastically Ordered Markov Chains
• Hybrid switching diffusions. Properties and applications
• Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems.
• Markov chains and stochastic stability
• Numerical solutions for jump-diffusions with regime switching
• On stability of nonlinear AR processes with Markov switching
• On the stability of diffusion processes with state-dependent switching
• Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
• Specification testing in Markov-switching time-series models
• Stability for a random evolution equation with Gaussian perturbation
• Stability of Markovian processes I: criteria for discrete-time Chains
• Stability of a random diffusion with nonlinear drift
• Stability of degenerate diffusions with state-dependent switching
• Stability of regime-switching diffusions
• Stability of stochastic differential equations with Markovian switching
• Stochastic comparability and dual \(Q\)-functions
• Sufficient and necessary conditions for stochastic comparability of jump processes

Cited in

(6)

• On stability of nonlinear AR processes with Markov switching
• scientific article; zbMATH DE number 2065863 (Why is no real title available?)
• SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
• On square-integrability of an AR process with Markov switching
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching

This page was built for publication: Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q968489)