On geometric ergodicity of nonlinear autoregressive models

Rabi Bhattacharya; Chanho Lee

doi:10.1016/0167-7152(94)00082-J

On geometric ergodicity of nonlinear autoregressive models

Rabi Bhattacharya, Chanho Lee

Mathematics

Research output: Contribution to journal › Article › peer-review

38 Scopus citations

Abstract

A criterion is derived for the geometric Harris ergodicity of general nonlinear autoregressive models, which imposes a condition on the forcing function only at infinity and does not require that the function be continuous.

Original language	English (US)
Pages (from-to)	311-315
Number of pages	5
Journal	Statistics and Probability Letters
Volume	22
Issue number	4
DOIs	https://doi.org/10.1016/0167-7152(94)00082-J
State	Published - Mar 1995

Keywords

Geometrically Harris ergodic
Invariant probability
Irreducibility
Markov process

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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@article{520aaef1d9f340229ac633c3a465ecac,

title = "On geometric ergodicity of nonlinear autoregressive models",

abstract = "A criterion is derived for the geometric Harris ergodicity of general nonlinear autoregressive models, which imposes a condition on the forcing function only at infinity and does not require that the function be continuous.",

keywords = "Geometrically Harris ergodic, Invariant probability, Irreducibility, Markov process",

author = "Rabi Bhattacharya and Chanho Lee",

note = "Funding Information: Here y = (Yt, Y2, --., Yk) • Rk. Let ~k denote the Borel sigma field on R k, and p(x, dy) (or p(x, A), A • ~k) the transition probability of 1I.. More generally, p({"})(x, dy) denotes the n-step transition probability of 1I. (n/> I), * Corresponding author, Indiana University, Department of Mathematics, Bloomington, IN 47405, USA 1 Research supported by NSF Grants DMS9206937, INT-9319620.",

year = "1995",

month = mar,

doi = "10.1016/0167-7152(94)00082-J",

language = "English (US)",

volume = "22",

pages = "311--315",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

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T1 - On geometric ergodicity of nonlinear autoregressive models

AU - Bhattacharya, Rabi

AU - Lee, Chanho

N1 - Funding Information: Here y = (Yt, Y2, --., Yk) • Rk. Let ~k denote the Borel sigma field on R k, and p(x, dy) (or p(x, A), A • ~k) the transition probability of 1I.. More generally, p(")(x, dy) denotes the n-step transition probability of 1I. (n/> I), * Corresponding author, Indiana University, Department of Mathematics, Bloomington, IN 47405, USA 1 Research supported by NSF Grants DMS9206937, INT-9319620.

PY - 1995/3

Y1 - 1995/3

N2 - A criterion is derived for the geometric Harris ergodicity of general nonlinear autoregressive models, which imposes a condition on the forcing function only at infinity and does not require that the function be continuous.

AB - A criterion is derived for the geometric Harris ergodicity of general nonlinear autoregressive models, which imposes a condition on the forcing function only at infinity and does not require that the function be continuous.

KW - Geometrically Harris ergodic

KW - Invariant probability

KW - Irreducibility

KW - Markov process

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EP - 315

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

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