Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching

作者：Xi, Fubao; Yin, G.^*

来源：Journal of Multivariate Analysis, 2010, 101(6): 1378-1389.

DOI：10.1016/j.jmva.2009.12.006

• Ergodicity
• Nonlinear autoregressive process
• Two-component Markov process
• State-dependent switching
• Foster-Lyapunov inequality
• Radon-Nikodym derivative
• Order-preserving coupling

In this paper, we consider a class of nonlinear autoregressive (AR) processes with state-dependent switching, which are two-component Markov processes. The state-dependent switching model is a nontrivial generalization of Markovian switching formulation and it includes the Markovian switching as a special case. We prove the Feller and strong Feller continuity by means of introducing auxiliary processes and making use of the Radon-Nikodym derivatives. Then, we investigate the geometric ergodicity by the Foster-Lyapunov inequality. Moreover, we establish the V-uniform ergodicity by means of introducing additional auxiliary processes and by virtue of constructing certain order-preserving couplings of the original as well as the auxiliary processes. In addition, illustrative examples are provided for demonstration.

• 出版日期2010-7
• 单位北京理工大学