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 |
Externí odkaz: |
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