Ergodicity and invertibility of threshold moving-average models

DOI10.3150/07-BEJ5147zbMath1111.62079MaRDI QIDQ880479

Howell Tong, Dong Li, Shiqing Ling

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

ergodicity; invertibility; strict stationarity; threshold moving-average model

Mathematics Subject Classification ID

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

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