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.

引用

页码：187 / 204

页数：18

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