Kybernetika 40 no. 6, 691-702, 2004

On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes

Petr Zvára

Abstract:

A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.