Ergodicity of a certain class of Non Feller Models: Applications to ARCH and Markov switching models

Author: Attali Jean-Gabriel  

Publisher: Edp Sciences

E-ISSN: 1262-3318|8|issue|76-86

ISSN: 1292-8100

Source: ESAIM: Probability and Statistics, Vol.8, Iss.issue, 2010-03, pp. : 76-86

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Abstract

We provide an extension of topological methods applied to acertain class of Non Feller Models which we call Quasi-Feller. We give conditions to ensure the existence of a stationarydistribution. Finally, we strengthen the conditions to obtain apositive Harris recurrence, which in turn implies the existenceof a strong law of large numbers.