非线性自回归序列的平稳解及其矩的存在性

摘要

用马氏链理论研究函数型随机方差非线性自回归模型平稳分布和矩的存在性,特别是只假设新息序列中的随机变量有密度函数,而不需要有处处为正的密度函数.%In this paper, we discuss existence of the stationary distribution and moment of nonlinear autoregressive model with conditional heteroscedasticity by the Markov theory.Especially,only assume that random variable has density function in the innovation, but not positive everywhere.