Threshold Vector Arma Models (Q2792294)

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Language	Label	Description	Also known as
English	Threshold Vector Arma Models	scientific article

Statements

scholarly article

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Threshold Vector Arma Models (English)

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Marcella Niglio

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Cosimo Damiano Vitale

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Communications in Statistics - Theory and Methods

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publication date

8 March 2016

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zbMATH Keywords

vector nonlinear models

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threshold processes

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stationarity

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2013.814785

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Strict stationarity of generalized autoregressive processes

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The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients

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Stationarity of multivariate Markov-switching ARMA models

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Mixed autoregressive-moving average multivariate processes with time- dependent coefficients

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Local unit roots and global stationarity of TARMA models

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Vector Threshold Moving Average Models: Model Specification and Invertibility

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Multivariate Markov-switching ARMA processes with regularly varying noise

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ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY

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Modelling Nonlinear Economic Time Series

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Threshold models in time series analysis -- 30 years on

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Identifiers

zbMATH Open document ID

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10.1080/03610926.2013.814785

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2792294

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