A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

被引：1
|
作者：
Lee, O. [1 ]
Shin, D. W. [1 ]
机构：
[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea
来源：
ECONOMICS LETTERS | 2007年 / 96卷 / 02期
关键词：
min-max model; integrated m-m process; multiple-threshold AR(1) process; ergodicity; geometric ergodicity;
D O I：
10.1016/j.econlet.2007.01.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：226 / 231
页数：6
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