On the stationary law of a nonlinear autoregressive Markov chain

Salama Jaouhari

Stochastic Processes and their Applications, 1994, vol. 51, issue 2, 341-358

Abstract: In this paper we present various properties of the stationary law of a nonlinear autoregressive Markov chain. We prove that the ergodic codistribution belongs to some Sobolev space. Furthermore we obtain various bounds for the tail of the ergodic distribution as well as an estimate of its total variation norm. We also propose consistent and asymptotically normal estimators of the parameters of this chain.

Keywords: Markov; chain; Sobolev; space; Extremal; point; Ergodic; distribution; Nonparametric; estimator; Asymptotic; behavior (search for similar items in EconPapers)
Date: 1994
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