Stability of cyclic threshold and threshold-like autoregressive time series models

MaRDI QIDQ5434009zbMATH OpenFDO

Authors Thomas R. Boucher, Daren B. H. Cline

Publication date 9 January 2008

zbMATH Keywords

ergodicitynonlinear autoregressive time seriesnonlinear time seriesthreshold autoregressive time series

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• Instability in regime switching models
• Stability in threshold VAR models

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