ON STABILITY OF NONLINEAR AR MODELS WITH MARKOV SWITCHING

Authors
YAO JF ATTALI JG
Citation
Jf. Yao et Jg. Attali, ON STABILITY OF NONLINEAR AR MODELS WITH MARKOV SWITCHING, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 327(6), 1998, pp. 593-596
Citations number
10
Categorie Soggetti
Mathematics,Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
327
Issue
6
Year of publication
1998
Pages
593 - 596
Database
ISI
SICI code
0764-4442(1998)327:6<593:OSONAM>2.0.ZU;2-1
Abstract
For a nonlinear autoregressive model with Markov switching, we give co nditions for: (A) the existence and the uniqueness of a stationary erg odic solution; (B) the existence of moments of such a stationary solut ion, (C) a strong law of large numbers for a large class of unbounded functions. (C) Academie des Sciences/Elsevier, Paris.