Stockis, Jean-Pierre; Franke, Jürgen; Kamgaing, Joseph … - In: Journal of Time Series Analysis 31 (2010) 3, pp. 141-152
In this article we consider a CHARME model, a class of generalized mixture of nonlinear nonparametric AR-ARCH time series. To provide sets of conditions under which such processes are geometrically ergodic and, therefore, satisfy some mixing conditions, we apply the theory of Markov chains to...