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Pré-Publication, Document De Travail Année : 2023

Harris Recurrent Markov Chains and Nonlinear Monotone Cointegrated Models

Résumé

In this paper, we study a nonlinear cointegration-type model of the form Z t = f 0 (X t)+W t where f 0 is a monotone function and X t is a Harris recurrent Markov chain. We use a nonparametric Least Square Estimator to locally estimate f 0 , and under mild conditions, we show its strong consistency and obtain its rate of convergence. New results (of the Glivenko-Cantelli type) for localized null recurrent Markov chains are also proved.
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Dates et versions

hal-04299698 , version 1 (22-11-2023)

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  • HAL Id : hal-04299698 , version 1

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Patrice Bertail, Cécile Durot, Carlos Fernández. Harris Recurrent Markov Chains and Nonlinear Monotone Cointegrated Models. 2023. ⟨hal-04299698⟩
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