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econ.EM2019
Subgeometric ergodicity and -mixing
Mika Meitz, Pentti Saikkonen
It is well known that stationary geometrically ergodic Markov chains are -mixing (absolutely regular) with geometrically decaying mixing coefficients. Furthermore, for initial d…
econ.EM2019★ 2 cited
Subgeometrically ergodic autoregressions
Mika Meitz, Pentti Saikkonen
In this paper we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear time series models. Sub…