A note on the ergodicity of non-linear autoregressive model

Statistics and Probability Letters

Volumn 34, Issue 4, 1997, Pages 365-372

  An, H Z ^a   Chen, S G ^b  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^b Inst Appl Phyics and Compl Math   (China)

Author keywords

Ergodicity; Geometric ergodicity; Markov chain; Non linear autoregressive model

Indexed keywords

EID: 0031575130     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(96)00204-0     Document Type: Article

References (5)

1. Bhattacharya, R. and C. Lee (1995), On geometric ergodicity of nonlinear autoregressive models, Statist. Probab. Lett. 22, 311-315.
2. Chan, K.S. and H. Tong (1985), On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations, Adv. in Appl. Probab. 17, 666-678.
3. Nummelin, E. (1984), General Irreducible Markov Chain and Non-negative Operators, Cambridge Tracts in Math. Vol. 83 (Cambridge Univ. Press, Cambridge).
4. Tjøstheim, D. (1990), Non-linear time series and Markov chains, Adv. in Appl. Probab. 22, 587-611.
5. Tong, H. (1990), Non-linear Time Series: A Dynamical System Approach (Oxford Univ. Press, New York).