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STATIONARY $\beta-MIXING$ FOR SUBDIAGONAL BILINEAR TIME SERIES  

Lee Oe-Sook (Department of Statistics, Ewha Womans University)
Publication Information
Journal of the Korean Statistical Society / v.35, no.1, 2006 , pp. 79-90 More about this Journal
Abstract
We consider the subdiagonal bilinear model and ARMA model with subdiagonal bilinear errors. Sufficient conditions for geometric ergodicity of associated Markov chains are derived by using results on generalized random coefficient autoregressive models and then strict stationarity and ,a-mixing property with exponential decay rates for given processes are obtained.
Keywords
Subdiagonal bilinear model; geometric ergodicity; $\beta-mixing$; stationarity; generalized random coefficient autoregressive model;
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