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Keywords:
geometric ergodicity; non-linear autoregression; least squares extrapolation
geometric ergodicity; non-linear autoregression; least squares extrapolation
Summary:
A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.
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