Bulletin of the
Korean Mathematical Society BKMS

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Bull. Korean Math. Soc. 1998; 35(2): 227-234

Printed June 1, 1998

Copyright © The Korean Mathematical Society.

Stability of a class of $p$th-order nonlinear autoregressive processes

Chanho Lee

Hannam University

Abstract

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Criteria are derived for the existence of a unique invariant probability distribution of a class of nonlinear {\it p}th-order autoregressive processes, which reformulate those of Tweedie's. It will be shown that the criteria in this paper are easily applicable to the linear or piecewise linear case so that some of the earlier results are immediate consequences of our main results.

Keywords: Markov process, invariant probability, irreducibility, Harris ergodic

MSC numbers: Primary 60G10, 60J05

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