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 |
| Download/View statistics | View download statistics for this item |
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