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Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations
Authors:Oesook Lee
Affiliation:Department of Statistics , Ewha Womans University , Seoul, 120-750, Korea
Abstract:Let {Xn} be a generalized autoregressive process of order ρ defined by Xnn(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}.
Keywords:In this paper  we are interested in AR models which are generated by nonlinear random functions with additive perturbations
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