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A Note on Simulation of Samples of Gamma-Autoregressive Variables

✍ Scribed by Obeysekera, Jayantha T. B.; Yevjevich, Vujica

Book ID
119737760
Publisher
American Geophysical Union
Year
1985
Tongue
English
Weight
237 KB
Volume
21
Category
Article
ISSN
0043-1397

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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.