Harris recurrent Markov chains and nonlinear monotone cointegrated models

Autor:	Bertail, Patrice, Durot, Cécile, Fernández, Carlos
Rok vydání:	2024
Předmět:	Mathematics - Statistics Theory 62G05 (primary) 62M05 (primary) 62G30 (secondary)
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
Externí odkaz:	http://arxiv.org/abs/2407.05294 Zobrazit plný text záznamu View this record from Arxiv