Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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ON STRICT STATIONARITY OF NONLINEAR ARMA PROCESSES WITH NONLINEAR GARCH INNOVATIONS

  • Lee, O. (Department of Statistics, Ewha Womans University)
  • Published : 2007.06.30
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Abstract

We consider a nonlinear autoregressive moving average model with nonlinear GARCH errors, and find sufficient conditions for the existence of a strictly stationary solution of three related time series equations. We also consider a geometric ergodicity and functional central limit theorem for a nonlinear autoregressive model with nonlinear ARCH errors. The given model includes broad classes of nonlinear models. New results are obtained, and known results are shown to emerge as special cases.

Keywords

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