On probabilistic properties of nonlinear ARMA(p,q) models

Oesook Lee

Statistics & Probability Letters, 2000, vol. 46, issue 2, 121-131

Abstract: We consider a general nonlinear ARMA(p,q) model Xn+1=h(en-q+1,...,en,Xn-p+1,...,Xn)+en+1, where h : Rp+q-->R is a measurable function and {en: n[greater-or-equal, slanted]1} is an i.i.d. sequence of random variables. Sufficient conditions for stationarity and geometric ergodicity of {Xn} are obtained by considering the asymptotic behaviours of the associated Markov chain.

Keywords: Nonlinear ARMA(p; q) model Markov chain Stationarity Ergodicity Geometric ergodicity (search for similar items in EconPapers)
Date: 2000
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