A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

DOI10.1016/J.ECONLET.2007.01.007MaRDI QIDQ1934115zbMATH OpenOpenAlexFDO

Authors Oesook Lee, Dong Wan Shin

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.01.007

zbMATH Keywords

ergodicitygeometric ergodicityintegrated m-m processmin-max modelmultiple-threshold \(AR(1)\) process

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• A multiple-threshold AR(1) model
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• A note on the ergodicity of nonlinear autoregressive model
• scientific article; zbMATH DE number 3789620 (Why is no real title available?)
• Introduction to m-m processes

Cited in

(1)

• A note on stationarity of the MTAR process on the boundary of the stationarity region

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