On stability of nonlinear AR processes with Markov switching

被引：40

作者：

Yao, JF

Attali, JG

机构：

[1] Univ Paris 01, SAMOS, F-75634 Paris 13, France

[2] Univ Paris 06, Probabil Lab, F-75252 Paris, France

来源：

ADVANCES IN APPLIED PROBABILITY | 2000年 / 32卷 / 02期

关键词：

Markov switching; nonlinear AR; Lyapounov functions; stability;

D O I：

10.1017/S000186780000999X

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 investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibility condition.

引用

页码：394 / 407

页数：14

共 25 条

[1]

[Anonymous], 1992, Stochastic Stability of Markov chains

[2]

ATTALI JG, 1999, THESIS U PARIS 1 FRA

[3] ERGODICITY OF NONLINEAR FIRST-ORDER AUTOREGRESSIVE MODELS [J].