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The probabilistic properties of the nonlinear autoregressive model with conditional heteroskedasticity

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Abstract

In this paper we examine the geometric ergodicities under fairly wide conditions for the following nonlinear autoregressive model

$$x_t = \phi (x_{t - 1} , \cdots ,x_{t - p} ) + \varepsilon _t h(x_{t - 1} , \cdots ,x_{t - p} )$$

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Authors and Affiliations

  1. Institute of Applied Mathematics, the Chinese Academy of Sciences, 100080, Beijing, China

    Chen Min & An Hongzhi

Authors
  1. Chen Min
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  2. An Hongzhi
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Additional information

This work is supported by the National Natural Sciences Foundation of China and Probability Laboratory of Institute of Applied Mathematics, the Chinese Academy of Sciences

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Min, C., Hongzhi, A. The probabilistic properties of the nonlinear autoregressive model with conditional heteroskedasticity. Acta Mathematicae Applicatae Sinica 15, 9–17 (1999). https://doi.org/10.1007/BF02677391

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  • DOI: https://doi.org/10.1007/BF02677391

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