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A note on a simple Markov bilinear stochastic process

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  • Cline, Daren B. H.
  • Pu, Huay-min H.
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    Abstract

    In this paper we note that while the results of a 1981 paper of H. Tong's are generally valid and can be strengthened, there is a special case that behaves differently.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-44HXDC7-6/2/fe7c2885f99c5c97074696d1566265c2
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 56 (2002)
    Issue (Month): 3 (February)
    Pages: 283-288

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    Handle: RePEc:eee:stapro:v:56:y:2002:i:3:p:283-288

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    Related research

    Keywords: Bilinear process ARCH-type errors Markov process Drift criteria Ergodicity Geometric ergodicity Limiting distribution;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    2. Tweedie, Richard L., 1975. "Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space," Stochastic Processes and their Applications, Elsevier, vol. 3(4), pages 385-403, October.
    3. Cline, Daren B. H. & Pu, Huay-min H., 1998. "Verifying irreducibility and continuity of a nonlinear time series," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 139-148, September.
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    Cited by:
    1. Psaradakis, Zacharias, 2006. "Blockwise bootstrap testing for stationarity," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 562-570, March.
    2. Cline, Daren B.H., 2007. "Regular variation of order 1 nonlinear AR-ARCH models," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 840-861, July.

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