| 随机环境下ARCH模型的几何遍历性 |
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| 引用本文： | 蔺海新.随机环境下ARCH模型的几何遍历性[J].河西学院学报,2010,26(5):9-13. |
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| 作者姓名： | 蔺海新 |
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| 作者单位： | 河西学院数学系,甘肃,张掖,734000 |
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| 摘 要： | 本文对随机环境下的非线性自回归条件异方差(简记为ARCH(p))模型进行了分析,运用一般状态空间马氏链的有关知识和方法,研究由其决定的时间序列{X1}的(伴随)几何遍历性.
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| 关 键 词： | 非线性时间序列 随机环境 ARCH模型 伴随几何遍历性 马氏链 |
The Geometric Ergodicity of ARCH Model under the Random Environment |
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| Lin Hai-xin.The Geometric Ergodicity of ARCH Model under the Random Environment[J].Journal of Hexi University,2010,26(5):9-13. |
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| Authors: | Lin Hai-xin |
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| Institution: | Lin Hai-xin(Department of Mathematics,Hexi University,Zhangye Gansu 734000) |
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| Abstract: | In this paper,In this paper,the geometric ergodicity of the ARCH process is considered under the random environment.By using the technique and the knowledge of Markov chain in general state space,Whenε1 has the first-order absolute moment or Eε21=1,A sufficient condition for the geometric ergodicity is given. |
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| Keywords: | Nonlinear time series model Random environment ARCH model Adjoin geometric ergodicity Markov chain |
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