On strict stationarity and ergodicity of a non-linear ARMA model

DOI10.2307/3214573MaRDI QIDQ4018329zbMATH OpenOpenAlexFDO

Publication date 16 January 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214573

ergodicity irreducibility necessary and sufficient condition existence of a strictly stationary solution of a general nonlinear ARMA model moving average component threshold \(\text{ARMA}(1,q)\) model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stationary stochastic processes (60G10)

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(30)

Ergodicity and invertibility of threshold moving-average models
The moments of SETARMA models
Existence and uniqueness of an invariant probability for a class of Feller Markov chains
Ergodicity of AR and AR-ARCH threshold models
The stationarity and invertibility of a class of nonlinear ARMA models
Generalized threshold latent variable model
On moving-average models with feedback
Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Drift conditions and invariant measures for Markov chains.
A note on moving-average models with feedback
Threshold structures in economic and financial time series
Local unit roots and global stationarity of TARMA models
Nonlinearity testing and modeling for threshold moving average models
Asymptotic theory on the least squares estimation of threshold moving-average models
On the least squares estimation of multiple-regime threshold autoregressive models
LASSO estimation of threshold autoregressive models
On a threshold autoregression with conditional heteroscedastic variances
The marginal density of a TMA(1) process
On strict stationarity of nonlinear ARMA processes with nonlinear GARCH innovations
Identification of threshold autoregressive moving average models
How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
Geometric ergodicity and \(\beta\)-mixing property for a multivariate CARR model
Generalization of some linear time series property to nonlinear domain
On probabilistic properties of nonlinear \(\text{ARMA}(p,q)\) models
On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
On ergodicity of threshold ARMA\((m, p, q)\) models
A multiple-threshold AR(1) model
ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
Statistical Properties of Threshold Models
Testing for a linear MA model against threshold MA models

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