On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term

	On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term
	Lu, ZD
刊名	STATISTICA SINICA
	1998-10-01
卷号	8 期号:4 页码:1205-1217
关键词	autoregression beta-ARCH(p) conditional heteroscedasticity geometric ergodicity Markov chain nonlinear AR model with ARCH term
ISSN号	1017-0405
英文摘要	In this paper, the geometric ergodicity of a non-linear AR model with an ARCH term is discussed. Two non-vacuous and mild sufficient conditions are given. The results obtained modify the vacuous part and reduce the restriction of Masry and Tj phi stheim (1995)'s conditions, and lay a foundation for statistical inference of the model (e.g. Mckeague and Zhang (1994) and Masry and Tj phi stheim (1995)). It is worth pointing out that the geometric ergodicity of the general beta-ARCH(p) model which could not be solved in Guegan and Diebolt (1994) may be easily derived from our results. Compared with Nze (1992), the conditions of this paper may guarantee the existence of the second moments for the stationary solution. A conjecture is also given.
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000076685900017
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/13535]
专题	中国科学院数学与系统科学研究院
通讯作者	Lu, ZD
作者单位	Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Lu, ZD. On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term[J]. STATISTICA SINICA,1998,8(4):1205-1217.
APA	Lu, ZD.(1998).On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term.STATISTICA SINICA,8(4),1205-1217.
MLA	Lu, ZD."On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term".STATISTICA SINICA 8.4(1998):1205-1217.