INVESTIGADORES
BOENTE BOENTE Graciela Lina
artículos
Título:
Ergodicity, Geometric Ergodicity and Mixing Conditions for Nonparametric ARMA Processes
Autor/es:
BOENTE, GRACIELA; FRAIMAN, RICARDO
Revista:
Bulletin of the Brazilian Mathematical Society
Editorial:
Springer
Referencias:
Lugar: Berlin/Heidelberg; Año: 2002 vol. 33 p. 307 - 318
ISSN:
1678-7544
Resumen:
In this paper, we introduce nonparametric ARMA models which provide an alternative to nonparametric autoregressive models, when there is a large dependence to the past observations. Conditions for ergodicity and geometric ergodicity are given when both the nonparametric autoregressive part and the moving average structure depend only one step behind. Also, a Fisher–consistent procedure is provided and its performance is studied through a simulated example.ARMA models which provide an alternative to nonparametric autoregressive models, when there is a large dependence to the past observations. Conditions for ergodicity and geometric ergodicity are given when both the nonparametric autoregressive part and the moving average structure depend only one step behind. Also, a Fisher–consistent procedure is provided and its performance is studied through a simulated example.