Threshold Vector Arma Models

DOI10.1080/03610926.2013.814785zbMath1332.62334OpenAlexW2060549988MaRDI QIDQ2792294

Cosimo Damiano Vitale, Marcella Niglio

Publication date: 8 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.814785

zbMATH Keywords

stationaritythreshold processesvector nonlinear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Instability in regime switching models

Cites Work

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• Threshold models in time series analysis -- 30 years on
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• Vector Threshold Moving Average Models: Model Specification and Invertibility
• ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Modelling Nonlinear Economic Time Series
• Stationarity of multivariate Markov-switching ARMA models

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