Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations |
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Authors: | Oesook Lee |
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Affiliation: | Department of Statistics , Ewha Womans University , Seoul, 120-750, Korea |
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Abstract: | Let {Xn} be a generalized autoregressive process of order ρ defined by Xn=Φn(Xn-ρ,…,Xn-1)-ηm, where {φn} is a sequence of i.i.d. random maps taking values on H, and {ηn} is a sequence of i.i.d. random variables. Let H be a collection of Borel measurable functions on RP to R. By considering the associated Markov process, we obtain sufficient conditions for stationarity, (geometric) ergodicity of {Xn}. |
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Keywords: | In this paper we are interested in AR models which are generated by nonlinear random functions with additive perturbations |
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