A note on moving‐average models with feedback

DOI10.1111/j.1467-9892.2012.00802.xzbMath1282.62200OpenAlexW2111215321MaRDI QIDQ5397962

Dong Li

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00802.x

zbMATH Keywords

feedbackergodicitystrict stationaritypiecewise linear processmultiple-regime TMA models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Related Items (4)

The marginal distribution function of threshold-type processes with central symmetric innovations ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ The Marginal Density of a TMA(1) Process ⋮ Nonlinearity testing and modeling for threshold moving average models

Cites Work

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• A note on the invertibility of nonlinear ARMA models
• Strict stationarity of generalized autoregressive processes
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• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• On threshold moving-average 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

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