Abstract
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.
Original language | English |
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Pages (from-to) | 121-131 |
Number of pages | 11 |
Journal | Statistics and Probability Letters |
Volume | 46 |
Issue number | 2 |
DOIs | |
State | Published - 15 Jan 2000 |
Bibliographical note
Funding Information:This research is supported by the grants form Korea Ministry of Science and Engineering, 1997.
Keywords
- 60F05
- 60J05
- Ergodicity
- Geometric ergodicity
- Markov chain
- Nonlinear ARMA (p,q) model
- Stationarity