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GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL |
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| Authors: | Sean P. Meyn Lei Guo |
| Affiliation: | University of Illinois and Institute of Systems Science, Beijing |
| Abstract: | Abstract. We demonstrate that a large class of doubly stochastic time series models are geometrically ergodic, and hence admit second-order stationary solutions. We also establish a version of the strong law of large numbers, the law of the interated logorithm and the central limit theorem for the stochastic processes under consideration. |
| Keywords: | Doubly stochastic models bilinear models stationarity Harris recurrence geometric ergodicity |