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Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
Chen, M; Chen, GM
2000-09-01
Source PublicationCANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
ISSN0319-5724
Volume28Issue:3Pages:605-613
AbstractThe authors give easy-to-check sufficient conditions for the geometric ergodicity and the finiteness of the moments of a random process x(t) = phi>(*) over bar * (x(t-1),... ,x(t-p)) + epsilon (t)sigma>(*) over bar * (x(t-1),...,x(t-q)) in which phi: R-p --> R, sigma: R-q --> R and (epsilon (t)) is a sequence of independent and identically distributed random variables. They deduce strong mixing properties for this class of nonlinear autoregressive models with changing conditional variances which includes, among others, the ARCH(p), the AR(p)-ARCH(p), and the double-threshold autoregressive models.
KeywordARCH(p) AR(p)-ARCH(q) double-threshold autoregressive models geometric ergodicity moments strong mixing
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000165139100015
PublisherCANADIAN JOURNAL STATISTICS
Citation statistics
Cited Times:15[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/15650
Collection中国科学院数学与系统科学研究院
AffiliationChinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Chen, M,Chen, GM. Geometric ergodicity of nonlinear autoregressive models with changing conditional variances[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,2000,28(3):605-613.
APA Chen, M,&Chen, GM.(2000).Geometric ergodicity of nonlinear autoregressive models with changing conditional variances.CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,28(3),605-613.
MLA Chen, M,et al."Geometric ergodicity of nonlinear autoregressive models with changing conditional variances".CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE 28.3(2000):605-613.
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