Communications for Statistical Applications and Methods

  • 제8권2호
  • /
  • Pages.565-572
  • /
  • 2001
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  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Ergodicity of Nonlinear Autoregression with Nonlinear ARCH Innovations

  • Hwang, S.Y. (Dept. of Statistics, Sookmyung Women′s University) ;
  • Basawa, I.V. (Dept. of Statistics, University of Georgia)
  • 발행 : 2001.08.01
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초록

This article explores the problem of ergodicity for the nonlinear autoregressive processes with ARCH structure in a very general setting. A sufficient condition for the geometric ergodicity of the model is developed along the lines of Feigin and Tweedie(1985), thereby extending classical results for specific nonlinear time series. The condition suggested is in turn applied to some specific nonlinear time series illustrating that our results extend those in the literature.

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참고문헌

  1. Statistics & Probability Letters v.31 The geometric ergodicity and existence of moments for a class of non-linear time series models An,H.Z.;Chen,M.;Huang,F.C.
  2. Journal of Time Series Analysis v.13 On the existence of stationary threshold autoregressive moving-average processes Brockwell,P.J.;Liu,J.;Tweedie,R.L.
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  4. Econometrica v.50 Autoregressive conditional heteroscedasticty with estimates of the variance of U.K. inflation Engle,R.F.
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  6. Statistica Sinica v.4 Probabiistic properties of the β-ARCH model Guegen,D.;Diebolt,J.
  7. Statistics & Probability Letters v.45 On the estimation of the β-ARCH models Hili,O.
  8. Statistics & Probability Letters v.53 Threshold ARCH(1) processes:asymptotic inference Hwang,S.Y.;Woo,M.J.
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  10. Journal of the Korean Statistical Society v.25 Conditions for the non-ergodicity of some Markov chains Lee,O.
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