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COMPARISON OF SOME NON‐LINEAR AUTOREGRESSIVE PROCESSES

机译:COMPARISON OF SOME NON‐LINEAR AUTOREGRESSIVE PROCESSES

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Abstract.We investigate autoregressive processes{Xn} ({Y“})satisfying Xn+1=Λ(Xn) + Zn+1(Yn+1=μ(Yn) + Zn+1), n = 0, 1, 2, …, where Λ and μ are odd increasing functions and the Zn‘s are i.i.d. with unimodal symmetric distribution. The process {Xn} is then stochastically monotone on 0, ∞). If Λ ≤ μ then Xnis stochastically dominated by Yn for n = 1, 2, …. Some related asymptotic properties, e.g., stationary distributions, a

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