PIGGYBACKING THRESHOLD PROCESSES WITH A FINITE STATE MARKOV CHAIN

被引：2
|
作者：
Boucher, Thomas R. [1 ]
Cline, Daren B. H. [2 ]
机构：
[1] Plymouth State Univ, Dept Math, Plymouth, NH 03264 USA
[2] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA
来源：
STOCHASTICS AND DYNAMICS | 2009年 / 9卷 / 02期
关键词：
Ergodicity; Markov chain; nonlinear autoregressive time series; nonlinear time series; threshold autoregressive time series; TIME-SERIES; STABILITY; MODELS;
D O I：
10.1142/S0219493709002622
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The state-space representations of certain nonlinear autoregressive time series are general state Markov chains. The transitions of a general state Markov chain among regions in its state-space can be modeled with the transitions among states of a finite state Markov chain. Stability of the time series is then informed by the stationary distributions of the finite state Markov chain. This approach generalizes some previous results.
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页码：187 / 204
页数：18
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