On moving-average models with feedback

DOI10.3150/11-BEJ352zbMATH Open1456.62204arXiv1205.2948MaRDI QIDQ418252FDOQ418252

Authors: Dong Li, Shiqing Ling, Howell Tong 

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic can disappear.

Full work available at URL: https://arxiv.org/abs/1205.2948

zbMATH Keywords

ergodicitystationarityexistencefeedbackmemorythresholdsACFleptokurticity

Mathematics Subject Classification ID

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

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Cited In (9)

• Threshold models in time series analysis -- some reflections
• The marginal distribution function of threshold-type processes with central symmetric innovations
• The Marginal Density of a TMA(1) Process
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Nonlinearity testing and modeling for threshold moving average models
• Asymptotic theory on the least squares estimation of threshold moving-average models
• On ergodicity of threshold ARMA\((m, p, q)\) models
• A note on moving‐average models with feedback

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