Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation

摘要

This paper proposes a first-order random coefficient integer-valued autoregressive model under random environment by introducing a Markov chain with a finite state space. We derive conditions for stationarity, geometric ergodicity, and β-mixing property with exponential decay for the random coefficient integer-valued autoregressive model under random environment. MSC:60J05, 60J10, 60k37.