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On the stationary law of a nonlinear autoregressive Markov chain

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  • Jaouhari, Salama

Abstract

In this paper we present various properties of the stationary law of a nonlinear autoregressive Markov chain. We prove that the ergodic codistribution belongs to some Sobolev space. Furthermore we obtain various bounds for the tail of the ergodic distribution as well as an estimate of its total variation norm. We also propose consistent and asymptotically normal estimators of the parameters of this chain.

Suggested Citation

  • Jaouhari, Salama, 1994. "On the stationary law of a nonlinear autoregressive Markov chain," Stochastic Processes and their Applications, Elsevier, vol. 51(2), pages 341-358, July.
    • Handle: RePEc:eee:spapps:v:51:y:1994:i:2:p:341-358
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