State-Discretization of V-Geometrically Ergodic Markov Chains and Convergence to the Stationary Distribution-Reference-Cited by-同舟云学术

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State-Discretization of V-Geometrically Ergodic Markov Chains and Convergence to the Stationary Distribution

Published:2019-11-04 Issue:3 Volume:22 Page:905-925
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Hervé Loic,Ledoux James

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-019-09746-0.pdf

Reference17 articles.

1. Anděl J, Hrach K (2000) On calculation of stationary density of autoregressive processes. Kybernetika (Prague) 36(3):311–319

2. Anděl J, Netuka I, Ranocha P (2007) Methods for calculating stationary distribution in linear models of time series. Statistics 41(4):279–287

3. Anděl J, Ranocha P (2005) Stationary distribution of absolute autoregression. Kybernetika (Prague) 41(6):735–742

4. Borkovec M, Klüppelberg C. (2001) The tail of the stationary distribution of an autoregressive process with ARCH(1) errors. Ann. Appl. Probab. 11(4):1220–1241

5. Chan KS, Tong H (1986) A note on certain integral equations associated with nonlinear time series analysis. Probab. Theory Relat. Fields 73(1):153–158

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1. Numerical Methods for Integral Equations of the Second Kind with NonSmooth Solutions of Bounded Variation;SIAM Journal on Numerical Analysis;2022-10

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