ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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Publication:4012950
DOI10.1111/j.1467-9892.1992.tb00096.xzbMath0755.62064OpenAlexW2107679696MaRDI QIDQ4012950
Jian Liu, Richard L. Tweedie, Peter J. Brockwell
Publication date: 27 September 1992
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00096.x
random coefficientsAR processesARMA modelsgeometric ergodicitySETARMA modelexistence of causal and strictly stationary solutionsself-exciting threshold autoregressive moving-average modelweakly stationary solutions
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Cites Work
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- Threshold models in non-linear time series analysis
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- On asymptotic distribution theory in segmented regression problems - identified case
- The existence of moments for stationary Markov chains
- On the general bilinear time series model
- Testing and Modeling Threshold Autoregressive Processes
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