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

作者：Tang, Mingtian; Wang, Yunyan^*

来源：Advances in Difference Equations, 2014, 2014(1): 99.

DOI：10.1186/1687-1847-2014-99

• geometric ergodicity
• Markov chain
• nonlinear time series
• random environment
• stationarity

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 beta-mixing property with exponential decay for the random coefficient integer-valued autoregressive model under random environment.

• 出版日期2014-4-2
• 单位江西理工大学