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Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

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  • Xi, Fubao
  • Yin, G.

Abstract

In 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.

Suggested Citation

  • Xi, Fubao & Yin, G., 2010. "Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1378-1389, July.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:6:p:1378-1389
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    References listed on IDEAS

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    Cited by:

    1. Cavicchioli, Maddalena, 2023. "Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables," Journal of Multivariate Analysis, Elsevier, vol. 196(C).

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