Existence of stationary distributions for a class of nonlinear time series models in random environment domain

Journal of Inequalities and Applications

关键词: Stationary distribution;    Nonlinear time series;    Random environment;   

DOI  :  

来源: DOAJ

【 摘 要 】

Abstract

In this paper, we study the problem of a variety of nonlinear time series model X_n+1 = F(X_n, e_n+1(Z_n+1)) in which {Z_n+1} is a Markov chain with finite state space, and for every state i of the Markov chain, {e_n(i)} is a sequence of independent and identically distributed random variables. Also, the existence of the stationary distribution of the sequence {X_n} defined by the above model is investigated. Some new novel results on the underlying models are presented.

2010 Mathematics Subject Classification: 60J10

【 授权许可】

Unknown