The existence of moments of nonlinear autoregressive model

DOI10.1007/BF02677414zbMath0930.62085MaRDI QIDQ1302272

Min Chen, Hong-Zhi An

Publication date: 13 February 2000

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

Markov chainnonlinear time serieshigher-order moments

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

A note on non-parametric testing for Gaussian innovations in AR-ARCH models ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach

Cites Work

• Non-linear time series and Markov chains
• The existence of moments for stationary Markov chains
• Matrix Analysis
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