On moving-average models with feedback

DOI10.3150/11-BEJ352zbMath1456.62204arXiv1205.2948MaRDI QIDQ418252

Shiqing Ling, Dong Li, Howell Tong

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

thresholdsexistencefeedbackergodicitystationaritymemoryACFleptokurticity

Mathematics Subject Classification ID

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

Related Items (8)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ The marginal distribution function of threshold-type processes with central symmetric innovations ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Threshold models in time series analysis -- some reflections ⋮ The Marginal Density of a TMA(1) Process ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ A note on moving‐average models with feedback ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Cites Work

• Threshold models in time series analysis -- 30 years on
• Ergodicity and invertibility of threshold moving-average models
• On the ergodicity of \(TAR(1)\) processes
• The estimation of a nonlinear moving average model
• Stability and the Lyapounov exponent of threshold AR-ARCH models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A multiple-threshold AR(1) model
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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