On geometric ergodicity of nonlinear autoregressive models

Rabi Bhattacharya and Chanho Lee

Statistics & Probability Letters, 1995, vol. 22, issue 4, 311-315

Abstract: A criterion is derived for the geometric Harris ergodicity of general nonlinear autoregressive models, which imposes a condition on the forcing function only at infinity and does not require that the function be continuous.

Keywords: Markov; process; Invariant; probability; Irreducibility; Geometrically; Harris; ergodic (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (27)

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