AbstractWe prove both geometric ergodicity and regular variation of the stationary distribution for a class of nonlinear stochastic recursions that includes nonlinear AR-ARCH models of order 1. The Lyapounov exponent for the model, the index of regular variation and the spectral measure for the regular variation all are characterized by a simple two-state Markov chain
This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedast...
In this paper, we study the problem of a variety of nonlinear threshold autoregressive model Xn+1=(X...
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
In this paper we consider a first order threshold bilinear Markov process, which can be viewed as an...
A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationar...
In this note, the condition to ensure the L-1 geometric ergodicity of a multivariate nonlinear AR mo...
In this paper we consider the non-linear time series model xt=[var epsilon]t([alpha]0+[alpha]1xt-1r[...
In this paper we consider a CHARME Model, a class of generalized mixture of nonlinear nonparametric ...
We consider the equation Rn=Qn+MnRn-1, with random non-i.i.d. coefficients , and show that the distr...
AbstractIn this paper, we consider a class of nonlinear autoregressive (AR) processes with state-dep...
For the pth-order linear ARCH model, , where [alpha]0 > 0, [alpha]i [greater-or-equal, slanted] 0, I...
We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with...
In this paper we present various properties of the stationary law of a nonlinear autoregressive Mark...
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, r...
AbstractIn this paper we present various properties of the stationary law of a nonlinear autoregress...
This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedast...
In this paper, we study the problem of a variety of nonlinear threshold autoregressive model Xn+1=(X...
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
In this paper we consider a first order threshold bilinear Markov process, which can be viewed as an...
A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationar...
In this note, the condition to ensure the L-1 geometric ergodicity of a multivariate nonlinear AR mo...
In this paper we consider the non-linear time series model xt=[var epsilon]t([alpha]0+[alpha]1xt-1r[...
In this paper we consider a CHARME Model, a class of generalized mixture of nonlinear nonparametric ...
We consider the equation Rn=Qn+MnRn-1, with random non-i.i.d. coefficients , and show that the distr...
AbstractIn this paper, we consider a class of nonlinear autoregressive (AR) processes with state-dep...
For the pth-order linear ARCH model, , where [alpha]0 > 0, [alpha]i [greater-or-equal, slanted] 0, I...
We study the sample autocovariance and autocorrelation function of the stationary AR(1) process with...
In this paper we present various properties of the stationary law of a nonlinear autoregressive Mark...
We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, r...
AbstractIn this paper we present various properties of the stationary law of a nonlinear autoregress...
This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedast...
In this paper, we study the problem of a variety of nonlinear threshold autoregressive model Xn+1=(X...
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
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