TY  - INPR
A1  - Franke, Jürgen
A1  - Stockis, Jean-Pierre
A1  - Tadjuidje Kamgaing, Joseph
T1  - On Geometric Ergodicity of CHARME Models
N2  - In this paper we consider a CHARME Model, a class of generalized mixture of nonlinear nonparametric AR-ARCH time series. We apply the theory of Markov models to derive asymptotic stability of this model. Indeed, the goal is to provide some sets of conditions under which our model is geometric ergodic and therefore satisfies some mixing conditions. This result can be considered as the basis toward an asymptotic theory for our model.
T3  - Report in Wirtschaftsmathematik (WIMA Report) - 103 
KW  - Nonparametric AR-ARCH
KW  - Mixture Models
KW  - Markov Chain
KW  - Geometric Ergodicity
Y1  - 2007
UR  - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1831
UR  - https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-14755
ER  -