Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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The Mixing Properties of Subdiagonal Bilinear Models

  • Jeon, H. (Department of Statistics, Ewha Womans University) ;
  • Lee, O. (Department of Statistics, Ewha Womans University)
  • Received : 20100600
  • Accepted : 20100800
  • Published : 2010.09.30
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Abstract

We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\beta$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.

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References

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