GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL

Sean P. Meyn and Lei Guo

Journal of Time Series Analysis, 1993, vol. 14, issue 1, 93-108

Abstract: Abstract. We demonstrate that a large class of doubly stochastic time series models are geometrically ergodic, and hence admit second‐order stationary solutions. We also establish a version of the strong law of large numbers, the law of the interated logorithm and the central limit theorem for the stochastic processes under consideration.

Date: 1993
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https://doi.org/10.1111/j.1467-9892.1993.tb00131.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:1:p:93-108

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