On probabilistic properties of nonlinear ARMA(p,q) models

We consider a general nonlinear ARMA(p,q) model Xn+1=h(en-q+1,...,en,Xn-p+1,...,Xn)+en+1, where h : Rp+q-->R is a measurable function and {en: n[greater-or-equal, slanted]1} is an i.i.d. sequence of random variables. Sufficient conditions for stationarity and geometric ergodicity of {Xn} are obtained by considering the asymptotic behaviours of the associated Markov chain.

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Year of publication:	2000
Authors:	Lee, Oesook
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 46.2000, 2, p. 121-131
Publisher:	Elsevier
Subject:	Nonlinear ARMA(p \| q) model Markov chain Stationarity Ergodicity Geometric ergodicity

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

Persistent link: https://www.econbiz.de/10005319389