Local unit roots and global stationarity of TARMA models

DOI10.1007/S11009-010-9166-YMaRDI QIDQ430852zbMATHOpenAlexFDO

Authors Marcella Niglio, Cosimo Damiano Vitale

Publication date 26 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9166-y

zbMATH Keywords

local stationarityexistencethreshold ARMA process

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Statistical Properties of Threshold Models
• On non-stationary threshold autoregressive models
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• On strict stationarity and ergodicity of a non-linear ARMA model

Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Stationarity of multivariate Markov-switching ARMA models
• Statistical Properties of Threshold Models
• Strict stationarity of generalized autoregressive processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Threshold Autoregression with a Unit Root
• Threshold Cointegration
• Threshold models in non-linear time series analysis
• Unit root tests in three‐regime SETAR models

Cited in

(5)

• A note on stationarity of the MTAR process on the boundary of the stationarity region
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Univariate conditional distributions of an open-loop TAR stochastic process
• Threshold structures in economic and financial time series
• Threshold vector ARMA models

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