A note on the ergodicity of non-linear autoregressive model

被引：22

作者：

An, HZ

Chen, SG

机构：

[1] ACAD SINICA,INST APPL MATH,BEIJING 100080,PEOPLES R CHINA

[2] INST APPL PHYS & COMPUTAT MATH,BEIJING 100088,PEOPLES R CHINA

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 34卷 / 04期

关键词：

Markov chain; ergodicity; geometric ergodicity; non-linear autoregressive model;

D O I：

10.1016/S0167-7152(96)00204-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We examine the Markov chain X-t=Phi(Xt-1)+epsilon(t)b, where X-t=(x(t),..., x(t-p+1))(tau), b=(1,0,...,0)(tau). Under some appropriate conditions on Phi, we show the ergodicity for (X-t) when E epsilon(t)(2) is suitable small, and the geometric ergodicity when Ee(\epsilon r\) is suitably small.

引用

页码：365 / 372

页数：8

共 5 条

[1] ON GEOMETRIC ERGODICITY OF NONLINEAR AUTOREGRESSIVE MODELS [J].