A note on a simple Markov bilinear stochastic process
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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Volume (Year): 56 (2002)
Issue (Month): 3 (February)
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References listed on IDEAS
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- 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.
- 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.
- 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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