Verifying irreducibility and continuity of a nonlinear time series

When considering the stability of a nonlinear time series, verifying aperiodicity, irreducibility and smoothness of the transitions for the corresponding Markov chain is often the first step. Here, we provide reasonably general conditions applicable to nonlinear autoregressive time series, including many with nonadditive errors.

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Year of publication:	1998
Authors:	Cline, Daren B. H. ; Pu, Huay-min H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 40.1998, 2, p. 139-148
Publisher:	Elsevier
Subject:	[psi]-Irreducibility Aperiodicity T-chain Feller chain

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

Persistent link: https://www.econbiz.de/10005074514