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Asymptotics of a class of pth-order nonlinear autoregressive processes

โœ Scribed by Chanho Lee

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
321 KB
Volume
40
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

Criteria are derived for ergodicity and geometric ergodicity of a class of nonlinear pth-order autoregressive processes, which reformulate Tweedie's ones so that they fit our purpose better to improve and extend those results obtained earlier by Chart and Tong, Tjostheim and others. It will be shown that the criteria in this paper are easily applicable to the linear or piecewise linear case so that some of the earlier results are consequences of our main results, and also show that these can be extended to the nonlinear cases as well. (~

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