Study on a class of nonlinear time series models and ergodicity in random environment domain

Zhenting Hou (), Zheng Yu and Peng Shi ()

Mathematical Methods of Operations Research, 2005, vol. 61, issue 2, 299-310

Abstract: In this paper, we study the problem of a variety of nonlinear threshold autoregressive model X n +1 =ϕ(X n )+ɛ n +1 (Z n +1 ) in which {Z n } is a Markov chain with finite state space, and for every state i of the Markov chain, {ɛ n (i)} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {X n } defined by the above model is investigated. Some new novel results on the underlying models are presented. Copyright Springer-Verlag 2005

Keywords: Geometric ergodicity; Nonlinear time series; Random environment (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s001860400399

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