𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A NOTE ON THE DISTRIBUTIONS OF NON-LINEAR AUTOREGRESSIVE STOCHASTIC MODELS

✍ Scribed by J. Pemberton; H. Tong

Book ID
111039385
Publisher
John Wiley and Sons
Year
1981
Tongue
English
Weight
172 KB
Volume
2
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A note on the ergodicity of non-linear a
A note on the ergodicity of non-linear autoregressive model
✍ H.Z. An; S.G. Chen πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 238 KB

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.

A note on the residual empirical process
A note on the residual empirical process in autoregressive models
✍ Sangyeol Lee πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 242 KB

Suppose that {X,} is the stationary AR(p) process of the form: X, -/,t = fll(Xt.-i -la) + ... + [~t,(X,\_p -I~) + ~:,, where {~:,} is a sequence of i.i.d, random variables with mean zero and finite variance a 2. In this paper, we study the asymptotic behavior of the empirical process computed from t