A note on moving-average models with feedback

DOI10.1111/J.1467-9892.2012.00802.XMaRDI QIDQ5397962zbMATH OpenOpenAlexFDO

Authors Dong Li

Publication date 25 February 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00802.x

zbMATH Keywords

ergodicityfeedbackmultiple-regime TMA modelspiecewise linear processstrict stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Bayesian nonlinearity test for threshold moving average models
• A note on the invertibility of nonlinear ARMA models
• Ergodicity and invertibility of threshold moving-average models
• On moving-average models with feedback
• On strict stationarity and ergodicity of a non-linear ARMA model
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On threshold moving-average models
• Strict stationarity of generalized autoregressive processes
• Testing a linear time series model against its threshold extension
• Testing for a linear MA model against threshold MA models
• Testing for threshold moving average with conditional heteroscedasticity
• The estimation of a nonlinear moving average model
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(6)

• Simulation-based estimation of threshold moving average models with contemporaneous shock asymmetry and an application to Turkish business cycles
• The marginal distribution function of threshold-type processes with central symmetric innovations
• Simulation and application of subsampling for threshold autoregressive moving-average models
• The marginal density of a TMA(1) process
• Nonlinearity testing and modeling for threshold moving average models
• On buffered moving average models

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