Re: Seminario IMQ, 24 novembre 2005, h 16.30

[Pietro Muliere <pietro.muliere@uni-bocconi.it>]

> Seminario 24 novembre 2005 h. 16.30
> Aula IMQ, stanza n. 137
> 
> Giovanni Fonseca
> Università dell'Insubria
> 
> "The problem of stability of nonlinear time series models"
> 
> Sufficient conditions for the stationarity of nonlinear time series models 
> are usually obtained applying results concerning the stability of Markov 
> chains provided some assumptions are satisfied.
> The criteria are known as drift conditions that is inequalities for the one 
> step conditional expectation of the process.
> We recall different approaches using drift conditions and present some 
> results concerning the applications to first order nonlinear time series 
> models.
> For higher order models the results on Markov processes are applied to 
> vector representations of the models. Some examples are presented in order 
> to illustrate the problems arising in applying drift conditions to 
> multidimensional Markov chains generated by time series models.
> 
> 


Pietro Muliere
Istituto Metodi Quantitativi
Università L. Bocconi
Viale Isonzo, 25
20135 Milano - Italy

Tel. 0039 02 58365623
Fax  0039 02 58365630


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