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Stationarity and beta-mixing of general Markov-switching bilinear processes
Journal article   Peer reviewed

Stationarity and beta-mixing of general Markov-switching bilinear processes

Abdelouahab Bibi and Abdelhakim Aknouche
Comptes rendus. Mathématique, Vol.348(3-4), pp.185-188
01/02/2010
DOI: https://doi.org/10.1016/j.crma.2009.12.015

Abstract

Mathematics Physical Sciences Science & Technology
We study the class of general bilinear models in which the parameters are allowed to depend on an unobserved Markov chain. Necessary and sufficient conditions for strict and second-order stationarity, existence of higher-order moments and conditions ensuring the geometric ergodicity are proposed. (C) 2009 Academie des sciences. Publie par Elsevier Masson SAS. Tous droits reserves.

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