On a class of nonlinear Ar(p) models with nonlinear arch errors

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	On a class of nonlinear Ar(p) models with nonlinear arch errors
	Chen, GM ; Chen, M
	2001-12-01
发表期刊	AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS
ISSN	1369-1473
卷号	43 期号:4 页码:445-454
摘要	This 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.
关键词	geometric ergodicity moments strongly mixing property
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000172499200006
出版者	BLACKWELL PUBL LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16256
专题	应用数学研究所
通讯作者	Chen, GM
作者单位	1.Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada 2.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 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.