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Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

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  • Eckhard Liebscher

Abstract

. In this paper we attempt to establish unified sufficient conditions for geometric ergodicity of autoregressive models. It is shown that there is a close relationship between geometric ergodicity and mixing properties. The case of nonstationary time series is incorporated into the investigations. Several time series models including threshold and EXPARCH‐models are examined with respect to geometric ergodicity. In some cases we obtain regions of geometric ergodicity in the parameter space, which are larger than that known from the literature.

Suggested Citation

  • Eckhard Liebscher, 2005. "Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 669-689, September.
    • Handle: RePEc:bla:jtsera:v:26:y:2005:i:5:p:669-689
    DOI: 10.1111/j.1467-9892.2005.00412.x
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    References listed on IDEAS

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    1. Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
    2. Mokkadem, Abdelkader, 1988. "Mixing properties of ARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 29(2), pages 309-315, September.
    3. Liebscher E., 2001. "Estimation Of The Density And The Regression Function Under Mixing Conditions," Statistics & Risk Modeling, De Gruyter, vol. 19(1), pages 9-26, January.
    4. Peter J. Brockwell & Jian Liu & Richard L. Tweedie, 1992. "On The Existence Of Stationary Threshold Autoregressive Moving‐Average Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(2), pages 95-107, March.
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    Cited by:

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    6. Hwang, S.Y. & Basawa, I.V., 2011. "Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality," Journal of Multivariate Analysis, Elsevier, vol. 102(6), pages 1018-1031, July.
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