Geometric ergodicity of nonlinear autoregressive models with changing conditional variances

Canadian Journal of Statistics

Volumn 28, Issue 3, 2000, Pages 605-614

  Chen, Min ^a   Chen, Gemai ^b  

^a INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

AR(p) ARCH(q); ARCH(p); Double threshold autoregressive models; Geometric ergodicity; Moments; Strong mixing

Indexed keywords

EID: 0034361524     PISSN: 03195724     EISSN: None     Source Type: Journal    
DOI: 10.2307/3315968     Document Type: Article

References (13)

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