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Study on a class of nonlinear time series models and ergodicity in random environment domain
Hou, Zhenting, Yu, Zheng and Shi, Peng (2005) Study on a class of nonlinear time series models and ergodicity in random environment domain. Mathematical Methods of Operations Research, 61 (2). pp. 299-310. ISSN 1432-2994
Full text for this resource is not available from the Research Repository.Abstract
In this paper, we study the problem of a variety of nonlinear threshold autoregressive model Xn+1=(Xn)+n+1(Zn+1) in which {Zn} is a Markov chain with finite state space, and for every state i of the Markov chain, {n(i)} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {Xn} defined by the above model is investigated. Some new novel results on the underlying models are presented.
Item Type: | Article |
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Uncontrolled Keywords: | ResPubID18842; geometric ergodicity, nonlinear time series, random environment |
Subjects: | FOR Classification > 0102 Applied Mathematics Faculty/School/Research Centre/Department > Institute for Logistics and Supply Chain Management (ILSCM) |
Depositing User: | VUIR |
Date Deposited: | 06 Jun 2011 06:49 |
Last Modified: | 25 Jul 2011 04:27 |
URI: | http://vuir.vu.edu.au/id/eprint/2780 |
DOI: | https://doi.org/10.1007/s001860400399 |
ePrint Statistics: | View download statistics for this item |
Citations in Scopus: | 9 - View on Scopus |
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