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On a class of nonlinear Ar(p) models with nonlinear arch errors
Chen, GM; Chen, M
2001-12-01
Source PublicationAUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS
ISSN1369-1473
Volume43Issue:4Pages:445-454
AbstractThis paper studies general sufficient conditions for the geometric ergodicity and the existence of moments for a class of nonlinear autoregressive models with nonlinear ARCH errors. Applications of these conditions to various well-known nonlinear time series models yield specific sufficient conditions, many of which are new or generalizations of existing conditions.
Keywordgeometric ergodicity moments strongly mixing property
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000172499200006
PublisherBLACKWELL PUBL LTD
Citation statistics
Cited Times:3[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/16256
Collection中国科学院数学与系统科学研究院
Affiliation1.Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada
2.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Chen, GM,Chen, M. On a class of nonlinear Ar(p) models with nonlinear arch errors[J]. AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS,2001,43(4):445-454.
APA Chen, GM,&Chen, M.(2001).On a class of nonlinear Ar(p) models with nonlinear arch errors.AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS,43(4),445-454.
MLA Chen, GM,et al."On a class of nonlinear Ar(p) models with nonlinear arch errors".AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS 43.4(2001):445-454.
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