On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes

DOI10.1111/JTSA.12440MaRDI QIDQ5382479zbMATH OpenOpenAlexFDO

Authors Kung-Sik Chan, Greta Goracci

Publication date 17 June 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12440

zbMATH Keywords

drift criteriairreducibilityMarkov chainnonlinear time seriesrecurrencestationarity

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A multiple-threshold AR(1) model
• A note on the invertibility of nonlinear ARMA models
• Criteria for classifying general Markov chains
• Ergodic Theorems for Discrete Time Stochastic Systems Using a Stochastic Lyapunov Function
• Ergodicity and invertibility of threshold moving-average models
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the central limit theorem for an ergodic Markov chain
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On the null recurrence and transience of a first-order SETAR model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• The existence of moments for stationary Markov chains
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

Cited in

(18)

• On the ergodicity of \(TAR(1)\) processes
• Generalized threshold latent variable model
• An empirical study on the parsimony and descriptive power of TARMA models
• First order threshold integer-valued moving average processes
• On the null recurrence and transience of a first-order SETAR model
• The marginal distribution function of threshold-type processes with central symmetric innovations
• The marginal density of a TMA(1) process
• Testing for Threshold Effects in the TARMA Framework
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• On the existence of stationary threshold bilinear processes
• Testing for threshold regulation in presence of measurement error
• On ergodicity of threshold ARMA(m, p, q) models
• A score-based threshold effect test in time series models
• Robust Estimation for Threshold Autoregressive Moving-Average Models
• On buffered moving average models
• Another approach for the asymptotic properties of threshold vector ARMA models
• Generalized multivariate threshold autoregressive models with linearly partitioned threshold space
• Ergodicity and invertibility of threshold moving-average models

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