随机环境下一维门限自回归TAR模型

The Threshold Autoregressive TAR Model under Random Environment

利用马氏链的随机稳定性理论,分析了随机环境下一维门限自回归TAR模型,研究了由其决定的迭代序列的几何遍历性,给出了其以几何速率收敛的一个充分条件.

The threshold autoregressive（TAR） model under random environment was discussed,The geometric ergodicity of the iterative sequence defined by this model was discussed with the theory of stochastic stability on Markov chains.A sufficient condition for convergence with geometric rate of the model was given.