𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On geometric ergodicity of skewed—SVCHARME models

✍ Scribed by Rydlewski, Jerzy P.; Snarska, Małgorzata


Book ID
123521171
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
359 KB
Volume
84
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


On geometric ergodicity of CHARME models
✍ Jean-Pierre Stockis; Jürgen Franke; Joseph Tadjuidje Kamgaing 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 339 KB
On geometric ergodicity of the MTAR proc
✍ Oesook Lee; Dong Wan Shin 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 114 KB

We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coe cients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is t