On Stability of Nonlinear Ar Processes with Markov Switching
نویسنده
چکیده
We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibility condition.
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تاریخ انتشار 2002