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

DOI10.2307/3214573zbMATH Open0753.62059OpenAlexW2314152218MaRDI QIDQ4018329FDOQ4018329

Authors: Jian Liu, Edward Susko 

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

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zbMATH Keywords

ergodicityirreducibilitynecessary and sufficient conditionexistence of a strictly stationary solution of a general nonlinear ARMA modelmoving average componentthreshold \(\text{ARMA}(1,q)\) 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)

Cited In (30)

• Ergodicity and invertibility of threshold moving-average models
• The moments of SETARMA models
• Ergodicity of AR and AR-ARCH threshold models
• Existence and uniqueness of an invariant probability for a class of Feller Markov chains
• The stationarity and invertibility of a class of nonlinear ARMA models
• Generalized threshold latent variable model
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
• On moving-average models with feedback
• A note on moving-average models with feedback
• Threshold structures in economic and financial time series
• Drift conditions and invariant measures for Markov chains.
• 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
• The marginal density of a TMA(1) process
• On a threshold autoregression with conditional heteroscedastic variances
• 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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