A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

O. Lee; D. W. Shin

doi:10.1016/j.econlet.2007.01.007

A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

O. Lee, D. W. Shin

Department of Statistics

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

Abstract

We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.

Original language	English
Pages (from-to)	226-231
Number of pages	6
Journal	Economics Letters
Volume	96
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2007.01.007
State	Published - Aug 2007

Bibliographical note

Funding Information:
This work was supported by grant R01-2006-000-10563-0 from the Basic Research Program of the Korea Science & Engineering Foundation.

Keywords

Ergodicity
Geometric ergodicity
Integrated m-m process
Min-max model
Multiple-threshold AR(1) process

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10.1016/j.econlet.2007.01.007

Cite this

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title = "A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes",

abstract = "We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.",

keywords = "Ergodicity, Geometric ergodicity, Integrated m-m process, Min-max model, Multiple-threshold AR(1) process",

author = "O. Lee and Shin, {D. W.}",

note = "Funding Information: This work was supported by grant R01-2006-000-10563-0 from the Basic Research Program of the Korea Science & Engineering Foundation. ",

year = "2007",

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doi = "10.1016/j.econlet.2007.01.007",

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volume = "96",

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journal = "Economics Letters",

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AU - Lee, O.

AU - Shin, D. W.

N1 - Funding Information: This work was supported by grant R01-2006-000-10563-0 from the Basic Research Program of the Korea Science & Engineering Foundation.

PY - 2007/8

Y1 - 2007/8

N2 - We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.

AB - We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.

KW - Ergodicity

KW - Geometric ergodicity

KW - Integrated m-m process

KW - Min-max model

KW - Multiple-threshold AR(1) process

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DO - 10.1016/j.econlet.2007.01.007

M3 - Article

AN - SCOPUS:34250019326

SN - 0165-1765

VL - 96

SP - 226

EP - 231

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

Abstract

Bibliographical note

Keywords

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