The geometric ergodicity and existence of moments for a class of non-linear time series model

被引：26

作者：

An, HZ ^{[1
]}

Chen, M ^{[1
]}

Huang, FC ^{[1
]}

机构：

[1] ACAD SINICA,INST APPL MATH,BEIJING 100080,PEOPLES R CHINA

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 31卷 / 03期

关键词：

nonlinear time series; beta-ARCH model; Markov chain; geometric ergodicity; higher-order moments;

D O I：

10.1016/S0167-7152(96)00033-8

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：

In this paper we consider the non-linear time series model x(t) = epsilon(t)(alpha(0) + alpha(1)\x(t-1)\(r beta) +...+ alpha(p)\x(t-p)\(r beta))(1/r) When r = 2 it is called the beta-ARCH(p) model. We examine the geometric ergodicity and the existence of higher-order moments for this model.

引用

页码：213 / 224

页数：12

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