Geometric ergodicity, regularity of the invariant distribution and inference for a threshold bilinear Markov process

Statistica Sinica

Volumn 13, Issue 2, 2003, Pages 367-384

  Ferrante, Marco ^a   Fonseca, Giovanni ^b   Vidoni, Paolo ^c  

^a UNIVERSITY OF PADOVA   (Italy)

^b UNIVERSITY OF INSUBRIA   (Italy)

^c UNIVERSITY OF UDINE   (Italy)

Author keywords

Autoregressive conditional heteroskedasticity; Estimating function; Invariant probability; Stationary process; Threshold model

Indexed keywords

EID: 0037706965     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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