On the uniform ergodicity of Markov processes of order 2

DOI10.1239/jap/1053003556zbMath1031.60065OpenAlexW2024754868MaRDI QIDQ4435687

Ulrich Herkenrath

Publication date: 17 November 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1053003556

zbMATH Keywords

nonlinear time series modelssequential smoothing proceduresuniform ergodicity of Markov processes of order 2

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

A Hoeffding-type inequality for ergodic time series ⋮ A sufficient condition for a unique invariant distribution of a higher-order Markov chain ⋮ Change detection for uncertain autoregressive dynamic models through nonparametric estimation

Cites Work

• Markov chains and stochastic stability
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Premium adjustment by generalized adaptive exponential smoothing
• ARMA MODELS WITH ARCH ERRORS
• Generalized adaptive exponential smoothing procedures
• Generalized adaptive exponential smoothing of observations from an ergodic hidden Markov model
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