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Study on a class of nonlinear time series models and ergodicity in random environment domain

Author

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  • Zhenting Hou
  • Zheng Yu
  • Peng Shi

Abstract

In this paper, we study the problem of a variety of nonlinear threshold autoregressive model X n +1 =ϕ(X n )+ɛ n +1 (Z n +1 ) in which {Z n } is a Markov chain with finite state space, and for every state i of the Markov chain, {ɛ n (i)} is a sequence of independent and identically distributed random variables. Also, the limit behavior of the sequence {X n } defined by the above model is investigated. Some new novel results on the underlying models are presented. Copyright Springer-Verlag 2005

Suggested Citation

  • Zhenting Hou & Zheng Yu & Peng Shi, 2005. "Study on a class of nonlinear time series models and ergodicity in random environment domain," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 61(2), pages 299-310, June.
    • Handle: RePEc:spr:mathme:v:61:y:2005:i:2:p:299-310
    DOI: 10.1007/s001860400399
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    Cited by:

    1. Enwen Zhu & Jiezhong Zou & Zhenting Hou, 2007. "Analysis on adjoint non-recurrent property of nonlinear time series in random environment domain," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(2), pages 353-360, April.

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