Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching

DOI10.1081/STA-200045822zbMath1062.62190MaRDI QIDQ4678804

Oesook Lee

Publication date: 23 May 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

functional central limit theorem; moment; stationarity; Markov switching; geometric ergodicity; q) model; nonlinear ARMA(p

Mathematics Subject Classification ID

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

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY

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