ARCH型有限阶双线性模型的平稳性  

Stationarity for a Finite-order ARCH-type Bilinear Model

作　　者：刘继春[1] 林顺发[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《莆田学院学报》2006年第5期16-19,共4页Journal of putian University

摘　　要：给出了一个ARCH型有限阶双线性模型,讨论了这一模型的严平稳性及遍历性。进一步,做为这一新结论的应用,推导了经典的ARCH(p)模型存在平稳遍历解的充分必要条件。In this paper, a finite-order ARCH-type bilinear model is presented. The strict stationarity and ergodicity of this model are discussed. Moreover, as an application of the results above, the sufficient and necessary condition for the strict stationarity of the classical ARCH（p） model is deduced.

关 键 词：ARCH过程 双线性模型 严平稳性 遍历性 

分 类 号：O211.6[理学—概率论与数理统计]