Geometric ergodicity of nonlinear first order autoregressive models

Geometric ergodicity of nonlinear first order autoregressive models

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Article ID: iaor20002953
Country: United States
Volume: 15
Issue: 2
Start Page Number: 227
End Page Number: 245
Publication Date: Jan 1999
Journal: Communications in Statistics - Stochastic Models
Authors:
Keywords: stochastic processes
Abstract:

We consider the ergodic Markov chain satisfying Xn+1 = h(Xn) + (Xnn+1, where {εn} is a sequence of independent, identically distributed random variables, considered by Bhattacharya and Lee. After modifications of their sufficient conditions for ergodicity, we give slightly different sufficient conditions for geometric ergodicity on finiteness of an exponential moment of |εn|. Our conditions are weaker than theirs concerning the main part h(Xn) of the Markov chain.

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