摘要
1 Theorems Consider the following nonlinear autoregressive modelx<sub>t</sub>=φx<sub>t-1</sub>+ε<sub>t</sub>h(x<sub>t-1</sub>θ) （1）with the assumptions:（A1）│φ│【1,θ=（θ<sub>0</sub>,θ<sub>1</sub>）∈ is an open set in R<sup>2</sup>,（A2） {ε<sub>t</sub>} is a sequenee of independent identically distributed random variables suchthatEε<sub>t</sub>=0, Eε<sub>t</sub><sup>2</sup>=1, E│ε<sub>t</sub>│<sup>4+δ</sup>【∞,for some δ】0, （2）and ε<sub>t</sub> is independent of x<sub>t-1</sub>, （A3） h（·） is an everywhere positive measurable function satisfying that as│x │→∞,h（x）→∞, h（x）/│x│→0, and for each C】0, sup h（x）【∞,
基金
Project supported by the National Natural Science Foundation of China and Probability Laboratory, Institute of Applied Mathematics, Chinese Academy of Sciences.
