On stability of nonlinear AR processes with Markov switching

Autor: Yao, J.-F., Attali, J.-G.
Zdroj: Advances in Applied Probability; June 2000, Vol. 32 Issue: 2 p394-407, 14p
Abstrakt: We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibility condition.
Databáze: Supplemental Index