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A note on the ergodicity of non-linear autoregressive model

โœ Scribed by H.Z. An; S.G. Chen

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
238 KB
Volume
34
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

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.

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