On geometric ergodicity of nonlinear autoregressive models

Research output: Contribution to journalArticle

37 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)311-315
Number of pages5
JournalStatistics and Probability Letters
Volume22
Issue number4
DOIs
StatePublished - 1995
Externally publishedYes

Fingerprint

Geometric Ergodicity
Autoregressive Model
Nonlinear Model
Ergodicity
Forcing
Infinity
Autoregressive model

Keywords

  • Geometrically Harris ergodic
  • Invariant probability
  • Irreducibility
  • Markov process

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

Cite this

On geometric ergodicity of nonlinear autoregressive models. / Bhattacharya, Rabindra N; Lee, Chanho.

In: Statistics and Probability Letters, Vol. 22, No. 4, 1995, p. 311-315.

Research output: Contribution to journalArticle

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