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THE PROBABILISTIC PROPERTIES OF THE NONLINEAR AUTOREGRESSIVE MODEL WITH CONDITIONAL HETEROSKEDASTICITY

THE PROBABILISTIC PROPERTIES OF THE NONLINEAR AUTOREGRESSIVE MODEL WITH CONDITIONAL HETEROSKEDASTICITY
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摘要 In this paper we examine the geometric ergodicities under fairly wide conditions for the following nonlinear autoregressive model In this paper we examine the geometric ergodicities under fairly wide conditions for the following nonlinear autoregressive model
作者 陈敏 安鸿志
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 1999年第1期9-17,共9页 应用数学学报(英文版)
基金 the National Natural Sciences Foundation of China Probability Laboratory of Institute of Applied Ma
关键词 Nonlinear autoregressive model Markov chain the conditional heteroskedasticity geometrical ergodicity Nonlinear autoregressive model, Markov chain, the conditional heteroskedasticity, geometrical ergodicity
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