Study on a class of nonlinear time series models and ergodicity in random environment domain

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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

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.

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Item type Article
URI https://vuir.vu.edu.au/id/eprint/2780
DOI 10.1007/s001860400399
Official URL http://dx.doi.org/10.1007/s001860400399
Subjects Historical > FOR Classification > 0102 Applied Mathematics
Historical > Faculty/School/Research Centre/Department > Institute for Logistics and Supply Chain Management (ILSCM)
Keywords ResPubID18842; geometric ergodicity, nonlinear time series, random environment
Citations in Scopus 9 - View on Scopus
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