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Asymptotics of a class of pth-order nonlinear autoregressive processes

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  • Lee, Chanho

Abstract

Criteria are derived for ergodicity and geometric ergodicity of a class of nonlinear pth-order autoregressive processes, which reformulate Tweedie's ones so that they fit our purpose better to improve and extend those results obtained earlier by Chan and Tong, Tjøstheim and others. It will be shown that the criteria in this paper are easily applicable to the linear or piecewise linear case so that some of the earlier results are consequences of our main results, and also show that these can be extended to the nonlinear cases as well.

Suggested Citation

  • Lee, Chanho, 1998. "Asymptotics of a class of pth-order nonlinear autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 171-177, September.
    • Handle: RePEc:eee:stapro:v:40:y:1998:i:2:p:171-177
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    References listed on IDEAS

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    1. Tweedie, Richard L., 1975. "Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space," Stochastic Processes and their Applications, Elsevier, vol. 3(4), pages 385-403, October.
    2. Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
    3. Paul D. Feigin & Richard L. Tweedie, 1985. "Random Coefficient Autoregressive Processes:A Markov Chain Analysis Of Stationarity And Finiteness Of Moments," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 1-14, January.
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    Cited by:

    1. Mika Meitz & Pentti Saikkonen, 2008. "Stability of nonlinear AR‐GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 453-475, May.
    2. Felix Chan & Michael McAleer & Marcelo C. Medeiros, 2015. "Structure and asymptotic theory for nonlinear models with GARCH erros," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 16(1), pages 1-21.

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