A note on a simple Markov bilinear stochastic process

In this paper we note that while the results of a 1981 paper of H. Tong's are generally valid and can be strengthened, there is a special case that behaves differently.

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Year of publication:	2002
Authors:	Cline, Daren B. H. ; Pu, Huay-min H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 3, p. 283-288
Publisher:	Elsevier
Keywords:	Bilinear process ARCH-type errors Markov process Drift criteria Ergodicity Geometric ergodicity Limiting distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137679