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On probabilistic properties of nonlinear ARMA(p,q) models
- Title
- On probabilistic properties of nonlinear ARMA(p,q) models
- Authors
- Lee O.
- Ewha Authors
- 이외숙
- SCOPUS Author ID
- 이외숙
- Issue Date
- 2000
- Journal Title
- Statistics and Probability Letters
- ISSN
- 0167-7152
- Citation
- Statistics and Probability Letters vol. 46, no. 2, pp. 121 - 131
- Indexed
- SCIE; SCOPUS
- Document Type
- Article
- Abstract
- We consider a general nonlinear ARMA(p,q) model Xn+1=h(en-q+1,...,en,X n-p+1,...,Xn)+en+1, where h:Rp+q→R is a measurable function and {en:n≥1} is an i.i.d. sequence of random variables. Sufficient conditions for stationarity and geometric ergodicity of {Xn} are obtained by considering the asymptotic behaviours of the associated Markov chain. © 2000 Elsevier Science B.V.
- Appears in Collections:
- 자연과학대학 > 통계학전공 > Journal papers
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