Local unit roots and global stationarity of TARMA models

DOI10.1007/S11009-010-9166-YzbMATH Open1241.62125OpenAlexW1963560650MaRDI QIDQ430852FDOQ430852

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

Recommendations

• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Statistical Properties of Threshold Models
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• 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

zbMATH Keywords

local stationarityexistencethreshold ARMA process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Strict stationarity of generalized autoregressive processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• Threshold models in non-linear time series analysis
• Unit root tests in three‐regime SETAR models
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• Stationarity of multivariate Markov-switching ARMA models
• 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
• Statistical Properties of Threshold Models
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity

Cited In (5)

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

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