This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order <italic>p</italic> (AR(<italic>p</italic>)) with the conditional variance specified as a general nonlinear first-order generalized...

This paper studies a class of Markov models that consist of two components. Typically, one of the components is observable and the other is unobservable or “hidden.” Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...