L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term

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	L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term
	Lu, ZD ; Jiang, ZY
	2001-01-15
发表期刊	STATISTICS & PROBABILITY LETTERS
ISSN	0167-7152
卷号	51 期号:2 页码:121-130
摘要	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.
关键词	autoregression conditional heteroscedasticity L-1 geometric ergodicity Markov chain multivariate AR-ARCH (CHARN) model
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000166195200003
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15944
专题	中国科学院数学与系统科学研究院
作者单位	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
推荐引用方式 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.