ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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Cites work
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Cited in
(42)- Large sample inference for conditional exponential families with applications to nonlinear time series
- On a threshold autoregression with conditional heteroscedastic variances
- Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model
- The moments of SETARMA models
- Bayesian subset selection for threshold autoregressive moving-average models
- An empirical study on the parsimony and descriptive power of TARMA models
- Information quantity evaluation of nonlinear time series processes and applications
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Statistical Properties of Threshold Models
- On strict stationarity and ergodicity of a non-linear ARMA model
- On moving-average models with feedback
- Adaptive parameter estimation in self-exciting threshold autoregressive models
- scientific article; zbMATH DE number 613241 (Why is no real title available?)
- Local unit roots and global stationarity of TARMA models
- Threshold structures in economic and financial time series
- The table auto-regressive moving-average model for (categorical) stationary series: statistical properties (causality; from the all random to the conditional random)
- Some new results for threshold AR(1) models
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- Identification of threshold autoregressive moving average models
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- On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
- A note on moving-average models with feedback
- The stationarity and invertibility of a class of nonlinear ARMA models
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- A note on stationarity of the MTAR process on the boundary of the stationarity region
- Instability in regime switching models
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- A score-based threshold effect test in time series models
- Shrinkage estimation and order selection in threshold autoregressive models via Bayesian empirical likelihood
- Another approach for the asymptotic properties of threshold vector ARMA models
- On the least squares estimation of multiple-regime threshold autoregressive models
- Testing for a linear MA model against threshold MA models
- Ergodicity and invertibility of threshold moving-average models
- LASSO estimation of threshold autoregressive models
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