On stability of nonlinear AR processes with Markov switching

被引：40
作者：
Yao, JF
Attali, JG
机构：
[1] Univ Paris 01, SAMOS, F-75634 Paris 13, France
[2] Univ Paris 06, Probabil Lab, F-75252 Paris, France
来源：
ADVANCES IN APPLIED PROBABILITY | 2000年 / 32卷 / 02期
关键词：
Markov switching; nonlinear AR; Lyapounov functions; stability;
D O I：
10.1017/S000186780000999X
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：
We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibility condition.
引用
收藏
页码：394 / 407
页数：14
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