Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

	Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
	Chen, M; Chen, GM
刊名	CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
	2000-09-01
卷号	28 期号:3 页码:605-613
关键词	ARCH(p) AR(p)-ARCH(q) double-threshold autoregressive models geometric ergodicity moments strong mixing
ISSN号	0319-5724
英文摘要	The authors give easy-to-check sufficient conditions for the geometric ergodicity and the finiteness of the moments of a random process x(t) = phi>() over bar (x(t-1),... ,x(t-p)) + epsilon (t)sigma>() over bar (x(t-1),...,x(t-q)) in which phi: R-p --> R, sigma: R-q --> R and (epsilon (t)) is a sequence of independent and identically distributed random variables. They deduce strong mixing properties for this class of nonlinear autoregressive models with changing conditional variances which includes, among others, the ARCH(p), the AR(p)-ARCH(p), and the double-threshold autoregressive models.
WOS研究方向	Mathematics
语种	英语
出版者	CANADIAN JOURNAL STATISTICS
WOS记录号	WOS:000165139100015
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/15649]
专题	中国科学院数学与系统科学研究院
通讯作者	Chen, M
作者单位	Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, M,Chen, GM. Geometric ergodicity of nonlinear autoregressive models with changing conditional variances[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,2000,28(3):605-613.
APA	Chen, M,&Chen, GM.(2000).Geometric ergodicity of nonlinear autoregressive models with changing conditional variances.CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,28(3),605-613.
MLA	Chen, M,et al."Geometric ergodicity of nonlinear autoregressive models with changing conditional variances".CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE 28.3(2000):605-613.