The Mixing Properties of Subdiagonal Bilinear Models

Jeon, H.;Lee, O.

  • Received : 20100600
  • Accepted : 20100800
  • Published : 2010.09.30


We consider a subdiagonal bilinear model and give sufficient conditions for the associated Markov chain defined by Pham (1985) to be uniformly ergodic and then obtain the $\beta$-mixing property for the given process. To derive the desired properties, we employ the results of generalized random coefficient autoregressive models generated by a matrix-valued polynomial function and vector-valued polynomial function.


Subdiagonal Bilinear model;geometric ergodicity;$\beta$-mixing;stationarity;generalized random coefficient autoregressive model


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