A note on the ergodicity of nonlinear autoregressive model

DOI10.1016/S0167-7152(96)00204-0zbMath0879.62077OpenAlexW1990310026MaRDI QIDQ1365172

M. García

Publication date: 11 January 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00204-0

zbMATH Keywords

ergodicityMarkov chainnonlinear autoregressive modelgeometric ergodicity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes (62M99) Stochastic stability in control theory (93E15)

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Cites Work

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• On geometric ergodicity of nonlinear autoregressive models
• Non-linear time series and Markov chains
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations