On Geometric Ergodicity of CHARME Models

  • 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.

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Metadaten
Author:Jürgen Franke, Jean-Pierre Stockis, Joseph Tadjuidje Kamgaing
URN (permanent link):urn:nbn:de:hbz:386-kluedo-14755
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (103)
Document Type:Preprint
Language of publication:English
Year of Completion:2007
Year of Publication:2007
Publishing Institute:Technische Universität Kaiserslautern
Tag:Geometric Ergodicity; Markov Chain ; Mixture Models ; Nonparametric AR-ARCH
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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