KMS Of Academy of mathematics and systems sciences, CAS
| L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term | |
| Lu, ZD; Jiang, ZY | |
| 2001-01-15 | |
| Source Publication | STATISTICS & PROBABILITY LETTERS
 |
| ISSN | 0167-7152 |
| Volume | 51Issue:2Pages:121-130 |
| Abstract | In this note, the condition to ensure the L-1 geometric ergodicity of a multivariate nonlinear AR model mixed with an ARCH term (also called conditional heteroscedastic autoregressive nonlinear model) is investigated. Under some mild conditions on the white noise process with first absolute moment, a sufficient condition much weaker than that by Ango Nze (C.R. Acad. Sci. Paris 315 ser. 1 (1992) 1301-1304) is derived. As an application, the L-1 geometric ergodicity of an additive AR model mixed with a multiplicative ARCH term is studied. Our condition expands the application of the result in Ango Nze (C.R. Acad. Sci. Paris 315 ser. 1 (1992) 1301-1304) and is interesting for robust modeling when the white noise is fat-tailed with infinite variance. Some additional remarks are also made. (C) 2001 Elsevier Science B.V. All rights reserved. |
| Keyword | autoregression conditional heteroscedasticity L-1 geometric ergodicity Markov chain multivariate AR-ARCH (CHARN) model |
| Language | 英语 |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000166195200003 |
| Publisher | ELSEVIER SCIENCE BV |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/15944 |
| Collection | 中国科学院数学与系统科学研究院 |
| Affiliation | 1.Univ Catholique Louvain, Inst Stat, B-1348 Louvain, Belgium 2.Acad Sinica, Inst Syst Sci, Lab Management Decis & Informat Syst, Beijing 100080, Peoples R China 3.Beijing Inst Informat Technol, Div Math, Beijing 100101, Peoples R China |
| Recommended Citation GB/T 7714 | Lu, ZD,Jiang, ZY. L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term[J]. STATISTICS & PROBABILITY LETTERS,2001,51(2):121-130. |
| APA | Lu, ZD,&Jiang, ZY.(2001).L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.STATISTICS & PROBABILITY LETTERS,51(2),121-130. |
| MLA | Lu, ZD,et al."L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term".STATISTICS & PROBABILITY LETTERS 51.2(2001):121-130. |
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