✦ LIBER ✦

A characterization of geometric ergodicity

✍ Scribed by Dean Isaacson

Publisher: Springer
Year: 1979
Tongue: English
Weight: 282 KB
Volume: 49
Category: Article
ISSN: 1432-2064
DOI: 10.1007/bf00535499

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Geometric ergodicity of a general ARCH t

Geometric ergodicity of a general ARCH type model

✍ Zudi Lu 📂 Article 📅 1997 🏛 Springer 🌐 English ⚖ 76 KB

Geometric ergodicity in a class of denum

Geometric ergodicity in a class of denumerable Markov chains

✍ H. D. Miller 📂 Article 📅 1966 🏛 Springer 🌐 English ⚖ 972 KB

On geometric ergodicity of nonlinear aut

On geometric ergodicity of nonlinear autoregressive models

✍ Rabi Bhattacharya; Chanho Lee 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 225 KB

On geometric ergodicity of the MTAR proc

On geometric ergodicity of the MTAR process

✍ Oesook Lee; Dong Wan Shin 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 114 KB

We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coe cients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is t

A decision theoretical characterization

A decision theoretical characterization of weak ergodicity

✍ Bo Lindqvist 📂 Article 📅 1978 🏛 Springer 🌐 English ⚖ 207 KB

A note on geometric ergodicity of autore

A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model

✍ Zudi Lu 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 320 KB

For the pth-order linear ARCH model, St = gt~/O{O q-~lXt2\_l q-0~2 X.2\_2 +-.-q-o~pXtLp, where c~0 > 0, c~i~>0, i = 1, 2, ..., p, {et} is an i.i.d, normal white noise with E~, = 0, Ee~ = 1, and et is independent of {X~, s < t}, Engle (1982) obtained the necessary and sufficient condition for the sec