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EXPONENTIAL GEOMETRIC ERGODICITY FOR NONLINEAR TIME SERIES
Author(s) : Thomas R. Boucher
Pages : [75] - [92]
Received : February 17, 2017; Revised March 26, 2017
Pages : [75] - [92]
Received : February 17, 2017; Revised March 26, 2017
Abstract
Conditions are explored under which geometric ergodicity of nonlinear autoregressive time series of order p with additive errors can be extended to hold for an exponentially bounded class of functions of the time series. This immediately extends laws of large numbers and central limit theorems to the larger collection of functions of the series.
Keywords
ergodicity, nonlinear time series, Markov chain.