A note on the invertibility of nonlinear ARMA models

DOI10.1016/J.JSPI.2010.04.036zbMath1233.62154OpenAlexW2064859396MaRDI QIDQ993810

Howell Tong, Kung-Sik Chan

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.036

zbMATH Keywords

dynamical systemattractornonlinear time seriessubadditive ergodic theorythreshold MA modelpolynomial MA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of dynamical systems (37N99) Time series analysis of dynamical systems (37M10)

Related Items (6)

Testing for Threshold Effects in the TARMA Framework ⋮ The Marginal Density of a TMA(1) Process ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes ⋮ A note on moving‐average models with feedback ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models

Uses Software

• TSA

Cites Work

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• Testing for a linear MA model against threshold MA models
• Current developments in time series modelling
• Subadditive ergodic theory
• The estimation of a nonlinear moving average model
• On the invertibility of time series models
• Nonlinear time series. Nonparametric and parametric methods
• Nonlinear Time Series
• Subadditivity, Generalized Products of Random Matrices and Operations Research
• Invertibility of non-linear time series models
• Chaos: A statistical perspective

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