TY - JOUR
T1 - On probabilistic properties of nonlinear ARMA(p,q) models
AU - Lee, Oesook
N1 - Funding Information:
This research is supported by the grants form Korea Ministry of Science and Engineering, 1997.
PY - 2000/1/15
Y1 - 2000/1/15
N2 - We consider a general nonlinear ARMA(p,q) model Xn+1=h(en-q+1,...,en,X n-p+1,...,Xn)+en+1, where h:Rp+q→R is a measurable function and {en:n≥1} is an i.i.d. sequence of random variables. Sufficient conditions for stationarity and geometric ergodicity of {Xn} are obtained by considering the asymptotic behaviours of the associated Markov chain.
AB - We consider a general nonlinear ARMA(p,q) model Xn+1=h(en-q+1,...,en,X n-p+1,...,Xn)+en+1, where h:Rp+q→R is a measurable function and {en:n≥1} is an i.i.d. sequence of random variables. Sufficient conditions for stationarity and geometric ergodicity of {Xn} are obtained by considering the asymptotic behaviours of the associated Markov chain.
KW - 60F05
KW - 60J05
KW - Ergodicity
KW - Geometric ergodicity
KW - Markov chain
KW - Nonlinear ARMA (p,q) model
KW - Stationarity
UR - http://www.scopus.com/inward/record.url?scp=0041327166&partnerID=8YFLogxK
U2 - 10.1016/s0167-7152(99)00096-6
DO - 10.1016/s0167-7152(99)00096-6
M3 - Article
AN - SCOPUS:0041327166
SN - 0167-7152
VL - 46
SP - 121
EP - 131
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 2
ER -