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 | |
| 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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Cite this
Bhattacharya, R., & Lee, C. (1995). On geometric ergodicity of nonlinear autoregressive models. Statistics and Probability Letters, 22(4), 311-315. https://doi.org/10.1016/0167-7152(94)00082-J