Harris recurrent Markov chains and nonlinear monotone cointegrated models
Autor: | Bertail, Patrice, Durot, Cécile, Fernández, Carlos |
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Rok vydání: | 2024 |
Předmět: | |
Druh dokumentu: | Working Paper |
Popis: | In this paper, we study a nonlinear cointegration-type model of the form \(Z_t = f_0(X_t) + W_t\) where \(f_0\) is a monotone function and \(X_t\) is a Harris recurrent Markov chain. We use a nonparametric Least Square Estimator to locally estimate \(f_0\), and under mild conditions, we show its strong consistency and obtain its rate of convergence. New results (of the Glivenko-Cantelli type) for localized null recurrent Markov chains are also proved. |
Databáze: | arXiv |
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