On the geometric ergodicity of nonlinear multivariate time series

Marco Ferrante; Giovanni Fonseca

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arXiv · 1203.3984

On the geometric ergodicity of nonlinear multivariate time series

Marco Ferrante·Giovanni Fonseca

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Abstract

In this paper we consider multivariate time series obtained as solution to multidimensional nonlinear stochastic difference equations whose coefficients are allowed to be locally degenerate and to present discontinuities. We provide simple and easy to check sufficient conditions for the irreducibility, T-chain regularity and geometric ergodicity of these processes and apply the results to the BEKK-ARCH(1) models with a nonlinear autoregressive term.

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Marco Ferrante, Giovanni Fonseca. 2012-03-18. On the geometric ergodicity of nonlinear multivariate time series. https://arxiv.org/abs/1203.3984

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