View : 27 Download: 0

A sufficient condition for geometric ergodicity of MTAR model

Title
A sufficient condition for geometric ergodicity of MTAR model
Authors
김연진
Issue Date
2000
Department/Major
대학원 통계학과
Keywords
sufficient conditiongeometric ergodicityMTAR
Publisher
이화여자대학교 대학원
Degree
Master
Abstract
We consider the momentum threshold autoregressive (MTAR) model and momentum threshold autoregressive moving average (MTARMA) model, and sufficient conditions for geometric Harris ergodicity and strict stationarity, by using the Tweedie's drift criteria. We give an example which satisfies condition that is used for stationarity in some papers but does not satisfy our condition, and show that the given process is not stationary.;본 논문에서는 Momentum Threshold Autogressive (MTAR) model의 grometric ergodicity에 관한 충분조건과 MTARMA 모형의 stationary solution의 존재조건을 구하였다. 기존에 사용되고 있는 MTAR model의 충분조건은 만족하면서 우리의 충분조건은 만족하지 않는 비정상시계열을 찾아 반례로 제시하여, 우리가 찾은 충분조건의 의의를 보였다.
Fulltext
Show the fulltext
Appears in Collections:
일반대학원 > 통계학과 > Theses_Master
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE