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

VL - 46

SP - 121

EP - 131

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

IS - 2

ER -