Verifying irreducibility and continuity of a nonlinear time series

被引：34

作者：

Cline, DBH ^{[1
]}

Pu, HMH ^{[1
]}

机构：

[1] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA

来源：

STATISTICS & PROBABILITY LETTERS | 1998年 / 40卷 / 02期

关键词：

psi-irreducibility; aperiodicity; T-chain; Feller chain;

D O I：

10.1016/S0167-7152(98)00081-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：139 / 148

页数：10

共 14 条

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