Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching
AbstractIn this paper, we consider a class of nonlinear autoregressive (AR) processes with state-dependent switching, which are two-component Markov processes. The state-dependent switching model is a nontrivial generalization of Markovian switching formulation and it includes the Markovian switching as a special case. We prove the Feller and strong Feller continuity by means of introducing auxiliary processes and making use of the Radon-Nikodym derivatives. Then, we investigate the geometric ergodicity by the Foster-Lyapunov inequality. Moreover, we establish the V-uniform ergodicity by means of introducing additional auxiliary processes and by virtue of constructing certain order-preserving couplings of the original as well as the auxiliary processes. In addition, illustrative examples are provided for demonstration.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 6 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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