Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

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	Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
	Chen, M; Chen, GM
	2000-09-01
发表期刊	CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
ISSN	0319-5724
卷号	28 期号:3 页码:605-613
摘要	The 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.
关键词	ARCH(p) AR(p)-ARCH(q) double-threshold autoregressive models geometric ergodicity moments strong mixing
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000165139100015
出版者	CANADIAN JOURNAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15650
专题	应用数学研究所
通讯作者	Chen, M
作者单位	Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 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.