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

DOI10.1016/J.JMVA.2009.12.006zbMATH Open1200.60059OpenAlexW2069834906MaRDI QIDQ968489FDOQ968489

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)

Cites Work

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Cited In (4)

• On stability of nonlinear AR processes with Markov switching
• 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

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