頁籤選單縮合
| 題 名 | On the Geometric Ergodicity of a Non-Linear Autoregressive Model with an Autoregressive Conditional Heteroscedastic Term |
|---|---|
| 作 者 | Lu,Zudi; | 書刊名 | Statistica Sinica |
| 卷 期 | 8:4 1998.10[民87.10] |
| 頁 次 | 頁1205-1217 |
| 分類號 | 319.712 |
| 關鍵詞 | Autoregression; β-ARCH(p); Conditional heteroscedasticity; Geometric ergodicity; Markov chain; Nonlinear AR model with ARCH term; |
| 語 文 | 英文(English) |
| 英文摘要 | In this paper, the geometric ergodicity of a non-linear AR model with an ARCH term is discussed. Two non-vacuous and mild sufficient conditions are given. The results obtained modify the vacuous part and reduce the restriction of Masry and Tjψstheim (1995)'s conditions, and lay a foundation for statistical inference of the model (e.g. Mckeague and Zhang (1994) and Masry and Tjψstheim (1995)). It is worth pointing out that the geometric ergodicity of the general β-ARCH(p) model which could not be solved in Guegan and Dieboit (1994) may be easily derived from our results. Compared with Nze (1992), the conditions of this paper may guarantee the existence of the second moments for the stationary solution. A conjecture is also given. |
本系統中英文摘要資訊取自各篇刊載內容。