DOUKHAN, P.; TSYBAKOV, A. - Center for Operations Research and Econometrics (CORE), … - 1992
Consider the general ARX(k, q) nonlinear process defined by the recurrence relation Yn = f(Y_(n-1),... y_(n-k), x_n,..., x_(n-q+1)) +([ xi ]_n) where { x_n},{ [xi]_n} are independent i.i.d. sequences. We study some probabilistic properties of this process in the ergodic situation and propose a...
