Stationarity and ergodic properties for some observation-driven models in random environments

DOI10.1214/23-aap1944arXiv2007.07623OpenAlexW3043298365MaRDI QIDQ6180367

Michael H. Neumann, Lionel Truquet, Paul Doukhan

Publication date: 19 January 2024

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

Full work available at URL: https://arxiv.org/abs/2007.07623

zbMATH Keywords

Markov chainstime seriesrandom environment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Processes in random environments (60K37)

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