随机环境下ARCH模型的几何遍历性

The Geometric Ergodicity of ARCH Model under the Random Environment

本文对随机环境下的非线性自回归条件异方差(简记为ARCH(p))模型进行了分析,运用一般状态空间马氏链的有关知识和方法,研究由其决定的时间序列{X1}的(伴随)几何遍历性.

In this paper,In this paper,the geometric ergodicity of the ARCH process is considered under the random environment.By using the technique and the knowledge of Markov chain in general state space,Whenε1 has the first-order absolute moment or Eε21=1,A sufficient condition for the geometric ergodicity is given.