On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations

zbMath1132.62068MaRDI QIDQ2479675

Oesook Lee

Publication date: 1 April 2008

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

zbMATH Keywords

functional central limit theoremMarkov chainstationaritygeometric ergodicitynon-linear ARMAnonlinear GARCH

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)

This page was built for publication: On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations