We examine the Markov chain Xt = q~(Xt-i )+etb, where Xt = (x,, ..., x,\_p+~ )~, b = ( 1,0 ..... 0)L Under some appropriate conditions on q~, we show the ergodicity for {X,} when Eet 2 is suitable small, and the geometric ergodicity when Ee I~' 1 is suitably small.
β¦ LIBER β¦
A note on modelling downturns: A non-linear model vs. simple linear autoregressive schemes
β Scribed by Garry J. Schinasi
- Book ID
- 116098609
- Publisher
- Elsevier Science
- Year
- 1979
- Tongue
- English
- Weight
- 368 KB
- Volume
- 3
- Category
- Article
- ISSN
- 0165-1765
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