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Analysis on adjoint non-recurrent property of nonlinear time series in random environment domain

Author

Listed:
  • Enwen Zhu
  • Jiezhong Zou
  • Zhenting Hou

Abstract

By introducing a random interference into the typical of nonlinear time series model, this paper establishes a RENLAR model: $$X_{n+1}=T(X_n)+ e_{n+1}(Z_{n+1})$$ . The author introduces the definition of adjoint non-recurrence, and utilizing general state space Markov chain theorem, we obtain some criteria for non-recurrence and adjoint non-recurrence of nonlinear time series models in random environment domain and analyze adjoint non-recurrence of some models by using these criteria. Copyright Springer-Verlag 2007

Suggested Citation

  • Enwen Zhu & Jiezhong Zou & Zhenting Hou, 2007. "Analysis on adjoint non-recurrent property of nonlinear time series in random environment domain," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(2), pages 353-360, April.
    • Handle: RePEc:spr:mathme:v:65:y:2007:i:2:p:353-360
    DOI: 10.1007/s00186-006-0128-7
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    References listed on IDEAS

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    1. Zhenting Hou & Zheng Yu & Peng Shi, 2005. "Study on a class of nonlinear time series models and ergodicity in random environment domain," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 61(2), pages 299-310, June.
    2. Bhattacharya, Rabi & Lee, Chanho, 1995. "On geometric ergodicity of nonlinear autoregressive models," Statistics & Probability Letters, Elsevier, vol. 22(4), pages 311-315, March.
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