Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation

Advances in Difference Equations

Yunyan Wang¹  Mingtian Tang¹ 

[1] School of Science, Jiangxi University of Science and Technology, Ganzhou, P.R. China

关键词: geometric ergodicity;    Markov chain;    nonlinear time series;    random environment;    stationarity;   

DOI  :  10.1186/1687-1847-2014-99

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

This paper proposes a first-order random coefficient integer-valued autoregressive model under random environment by introducing a Markov chain with a finite state space. We derive conditions for stationarity, geometric ergodicity, and β-mixing property with exponential decay for the random coefficient integer-valued autoregressive model under random environment. MSC:60J05, 60J10, 60k37.

【 授权许可】

CC BY