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

	On a class of nonlinear Ar(p) models with nonlinear arch errors
	Chen, GM ; Chen, M
刊名	AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS
	2001-12-01
卷号	43 期号:4 页码:445-454
关键词	geometric ergodicity moments strongly mixing property
ISSN号	1369-1473
英文摘要	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.
WOS研究方向	Mathematics
语种	英语
出版者	BLACKWELL PUBL LTD
WOS记录号	WOS:000172499200006
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/16255]
专题	中国科学院数学与系统科学研究院
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.