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- W2140042236 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." @default.
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- W2140042236 date "2005-11-02" @default.
- W2140042236 modified "2023-10-18" @default.
- W2140042236 title "Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes" @default.
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