Studying Stability of a Non-linear Autoregressive Model
نویسندگان
چکیده
منابع مشابه
On the Geometric Ergodicity of a Non-linear Autoregressive Model with an Autoregressive Conditional Heteroscedastic Term
In this paper, the geometric ergodicity of a non-linear AR model with an ARCH term is discussed. Two non-vacuous and mild sufficient conditions are given. The results obtained modify the vacuous part and reduce the restriction of Masry and Tjφstheim (1995)’s conditions, and lay a foundation for statistical inference of the model (e.g. Mckeague and Zhang (1994) and Masry and Tjφstheim (1995)). I...
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ژورنال
عنوان ژورنال: JOURNAL OF EDUCATION AND SCIENCE
سال: 2018
ISSN: 2664-2530
DOI: 10.33899/edusj.2018.159315