http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
GEOMETRIC ERGODICITY AND TRANSIENCE FOR NONLINEAR AUTOREGRESSIVE MONELS
Lee, Oe-Sook Korean Mathematical Society 1995 대한수학회논문집 Vol.10 No.2
We consider the $R^k$-valued $(k \geq 1)$ process ${X_n}$ generated by $X_n + 1 = f(X_n)+e_{n+1}$, where $f(x) = (h(x),x^{(1)},x^{(1)},\cdots,x{(k-1)})'$. We assume that h is a real-valued measuable function on $R^k$ and that $e_n = (e'_n,0,\cdot,0)'$ where ${e'_n}$ are independent and identically distributed random variables. We obtained a practical criteria guaranteeing a given process to be geometrically ergodic. Sufficient condition for transience is also given.
Lee Wonsang,Yeo Joonhyun 한국물리학회 2020 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.77 No.9
We construct a dynamical field theory for noninteracting Brownian particles in the presence of a quenched Gaussian random potential. The main variable for the field theory is the density fluctuation, which measures the difference between the local density and its average value. The average density is spatially inhomogeneous for a given realization of the random potential. It becomes uniform only after being averaged over the disorder configurations. We develop a diagrammatic perturbation theory for the density correlation function and calculate the zero-frequency component of the response function exactly by summing all the diagrams contributing to it. From this exact result and the fluctuation dissipation relation, which holds in equilibrium dynamics, we find that the connected density correlation function always decays to zero in the long-time limit for all values of disorder strength implying that the system always remains ergodic. This nonperturbative calculation relies on the simple diagrammatic structure of the present field theoretical scheme. We compare in detail our diagrammatic perturbation theory with the one used in a recent paper [B. Kim, M. Fuchs and V. Krakoviack, J. Stat. Mech. 2020, 023301 (2020)], which uses the density fluctuation around the uniform average, and discuss the difference in the diagrammatic structures of the two formulations.
Ergodicity of Nonlinear Autoregression with Nonlinear ARCH Innovations
Hwang, S.Y.,Basawa, I.V. The Korean Statistical Society 2001 Communications for statistical applications and me Vol.8 No.2
This article explores the problem of ergodicity for the nonlinear autoregressive processes with ARCH structure in a very general setting. A sufficient condition for the geometric ergodicity of the model is developed along the lines of Feigin and Tweedie(1985), thereby extending classical results for specific nonlinear time series. The condition suggested is in turn applied to some specific nonlinear time series illustrating that our results extend those in the literature.
Applications of ergodic theory to pseudorandom numbers
Choe, Geon-Ho,Kim, Chihurn -Choe,Kim, Dong-Han -Choe Korean Mathematical Society 1998 대한수학회보 Vol.35 No.1
Several aspects of pseudorandom number generators are investigated from the viewpoint of ergodic theory. An algorithm of generating pseudorandom numbers proposed and shown to behave reasonably well.
GEOMETRIC ERGODICITY AND EXISTENCE OF HIGHER-ORDER MOMENTS FOR DTARCH(p,q) PROCESS
Lee, Oe-Sook The Korean Statistical Society 2003 Journal of the Korean Statistical Society Vol.32 No.2
We consider a double threshold AR-ARCH type process and give sufficient conditions under which the higher-order moments exist. Geometric ergodicity and strict stationarity are also studied.
Geometric ergodicity and regular variation of stochastic unit root processes
Gawon Yoon 한국계량경제학회 2007 한국계량경제학회 학술대회 논문집 Vol.2007 No.2
This paper shows that stochastic unit root [STUR] processes, which are closely related to standard (fixed) unit root models and could be easily confused with them by standard unit root tests, are geometrically ergodic and regularly varying. On the contrary to the widely held belief, therefore, STUR processes are not long-memory, but short-memory. The phenomena of volatility-induced stationarity and long-memory are also discussed under STUR.
Uniform Ergodicity and Exponential α-Mixing for Continuous Time Stochastic Volatility Model
Lee, O. The Korean Statistical Society 2011 Communications for statistical applications and me Vol.18 No.2
A continuous time stochastic volatility model for financial assets suggested by Barndorff-Nielsen and Shephard (2001) is considered, where the volatility process is modelled as an Ornstein-Uhlenbeck type process driven by a general L$\'{e}$vy process and the price process is then obtained by using an independent Brownian motion as the driving noise. The uniform ergodicity of the volatility process and exponential ${\alpha}$-mixing properties of the log price processes of given continuous time stochastic volatility models are obtained.
Uniform Ergodicity of an Exponential Continuous Time GARCH(p,q) Model
Lee, Oe-Sook The Korean Statistical Society 2012 Communications for statistical applications and me Vol.19 No.5
The exponential continuous time GARCH(p,q) model for financial assets suggested by Haug and Czado (2007) is considered, where the log volatility process is driven by a general L$\acute{e}$vy process and the price process is then obtained by using the same L$\acute{e}$vy process as driving noise. Uniform ergodicity and ${\beta}$-mixing property of the log volatility process is obtained by adopting an extended generator and drift condition.
Geometric ergodicity for the augmented asymmetric power GARCH model
Park, S.,Kang, S.,Kim, S.,Lee, O. The Korean Data and Information Science Society 2011 한국데이터정보과학회지 Vol.22 No.6
An augmented asymmetric power GARCH(p, q) process is considered and conditions for stationarity, geometric ergodicity and ${\beta}$-mixing property with exponential decay rate are obtained.
Geometric ergodicity for the augmented asymmetric power GARCH model
S. Park,S. Kang,S. Kim,O. Lee 한국데이터정보과학회 2011 한국데이터정보과학회지 Vol.22 No.6
An augmented asymmetric power GARCH(p,q) process is considered and conditions for stationarity, geometric ergodicity and β-mixing property with exponential decay rate are obtained.