A note on the ergodicity of non-linear autoregressive model

H. Z. An and S. G. Chen

Statistics & Probability Letters, 1997, vol. 34, issue 4, 365-372

Abstract: We examine the Markov chain Xt = [Phi](Xt - 1) + [var epsilon]tb, where Xt = (xt, ..., xt - p + 1)[tau], B = (1, 0, ..., 0)[tau]. Under some appropriate conditions on [Phi], we show the ergodicity for {Xt} when E[var epsilon]t2 is suitable small, and the geometric ergodicity when Ee[var epsilon]t is suitably small.

Keywords: Markov; chain; Ergodicity; Geometric; ergodicity; Non-linear; autoregressive; model (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (9)

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