Existence of stationary distributions for a class of nonlinear time series models in random environment domain

摘要

In this paper, we study the problem of a variety of nonlinear time series model Xn+1= F(X n , en+1(Zn+1)) in which {Zn+1} is a Markov chain with finite state space, and for every state i of the Markov chain, {e n (i)} is a sequence of independent and identically distributed random variables. Also, the existence of the stationary distribution of the sequence {X n } defined by the above model is investigated. Some new novel results on the underlying models are presented. 2010 Mathematics Subject Classification: 60J10