GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL
- 1 January 1993
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 14 (1) , 93-108
- https://doi.org/10.1111/j.1467-9892.1993.tb00131.x
Abstract
We demonstrate that a large class of doubly stochastic time series models are geometrically ergodic, and hence admit second‐order stationary solutions.We also establish a version of the strong law of large numbers, the law of the interated logorithm and the central limit theorem for the stochastic processes under consideration.Keywords
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