GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL

DOI10.1111/j.1467-9892.1993.tb00131.xzbMath0783.62071OpenAlexW2026264147MaRDI QIDQ4696580

Sean P. Meyn, Lei Guo

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00131.x

zbMATH Keywords

strong law of large numberslaw of the iterated logarithmcentral limit theoremstationaritysufficient conditionsHarris recurrencebilinear modelsdoubly stochastic time series modelsgeometrically ergodic Markov chainsecond-order stationary solutions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (1)

A Liapounov bound for solutions of the Poisson equation

Cites Work

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• A uniform theory for sums of Markov chain transition probabilities
• Decoupling inequalities for stationary Gaussian processes
• Non-linear time series and Markov chains
• General Irreducible Markov Chains and Non-Negative Operators
• Existence of moments in a stationary stochastic difference equation
• Stability of Markovian processes I: criteria for discrete-time Chains
• Criteria for classifying general Markov chains

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