Volume 8, August 2004
|Page(s)||76 - 86|
|Published online||15 September 2004|
Ergodicity of a certain class of Non Feller Models: Applications to ARCH and Markov switching models
ENSAE, Timbre J120, Bureau E01, 3 avenue Pierre
Larousse, 92245 Malakoff Cedex, France; firstname.lastname@example.org.
Revised: 12 June 2003
We provide an extension of topological methods applied to a certain class of Non Feller Models which we call Quasi-Feller. We give conditions to ensure the existence of a stationary distribution. Finally, we strengthen the conditions to obtain a positive Harris recurrence, which in turn implies the existence of a strong law of large numbers.
Mathematics Subject Classification: 60B05 / 60B10 / 60J10
Key words: Ergodic / Markov chain / Feller / Quasi-Feller / invariant measure / geometric ergodicity / rate of convergence / ARCH models / Markov switching.
© EDP Sciences, SMAI, 2004
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