节点文献
随机环境下一维门限自回归TAR模型
The Threshold Autoregressive TAR Model under Random Environment
【摘要】 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.
【Abstract】 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.
【关键词】 随机环境;
小集;
几何遍历性;
门限自回归模型(TAR);
马尔可夫链;
【Key words】 random environment; small set; geometric ergodicity; threshold autoregressive model; Markov chain;
【Key words】 random environment; small set; geometric ergodicity; threshold autoregressive model; Markov chain;
【基金】 海南省自然科学基金资助项目(109002);山东科技大学“春蕾计划”资助项目(2010AZZ055)
- 【文献出处】 佳木斯大学学报(自然科学版) ,Journal of Jiamusi University(Natural Science Edition) , 编辑部邮箱 ,2011年06期
- 【分类号】O211.61
- 【被引频次】2
- 【下载频次】88