On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term
文献类型：期刊论文
| 作者 | Lu, ZD |
| 刊名 | STATISTICA SINICA
 |
| 出版日期 | 1998-10-01 |
| 卷号 | 8期号:4页码:1205-1217 |
| 关键词 | autoregression beta-ARCH(p) conditional heteroscedasticity geometric ergodicity Markov chain nonlinear AR model with ARCH term |
| ISSN号 | 1017-0405 |
| 英文摘要 | In this paper, the geometric ergodicity of a non-linear AR model with an ARCH term is discussed. Two non-vacuous and mild sufficient conditions are given. The results obtained modify the vacuous part and reduce the restriction of Masry and Tj phi stheim (1995)'s conditions, and lay a foundation for statistical inference of the model (e.g. Mckeague and Zhang (1994) and Masry and Tj phi stheim (1995)). It is worth pointing out that the geometric ergodicity of the general beta-ARCH(p) model which could not be solved in Guegan and Diebolt (1994) may be easily derived from our results. Compared with Nze (1992), the conditions of this paper may guarantee the existence of the second moments for the stationary solution. A conjecture is also given. |
| 语种 | 英语 |
| WOS记录号 | WOS:000076685900017 |
| 出版者 | STATISTICA SINICA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/13535]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Lu, ZD |
| 作者单位 | Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Lu, ZD. On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term[J]. STATISTICA SINICA,1998,8(4):1205-1217. |
| APA | Lu, ZD.(1998).On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term.STATISTICA SINICA,8(4),1205-1217. |
| MLA | Lu, ZD."On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term".STATISTICA SINICA 8.4(1998):1205-1217. |
入库方式： OAI收割
来源：数学与系统科学研究院
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