A note on the invertibility of nonlinear ARMA models

DOI10.1016/J.JSPI.2010.04.036zbMATH Open1233.62154OpenAlexW2064859396MaRDI QIDQ993810FDOQ993810

Authors: Kung-Sik Chan, Howell Tong 

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.036

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zbMATH Keywords

nonlinear time seriesattractordynamical systemsubadditive ergodic theorythreshold MA modelpolynomial MA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10) Applications of dynamical systems (37N99)

Cites Work

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• On the invertibility of time series models
• Nonlinear time series. Nonparametric and parametric methods
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• Chaos: A statistical perspective
• Current developments in time series modelling
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• Applied nonlinear time series analysis. Applications in physics, physiology and finance.
• Subadditive ergodic theory
• Nonlinear Time Series
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• Testing for a linear MA model against threshold MA models
• The estimation of a nonlinear moving average model
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• Subadditivity, Generalized Products of Random Matrices and Operations Research
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• Invertibility of non-linear time series models

Cited In (12)

• Inversion of Wiener-Hopf truncated operators and prediction error for continuous time ARMA processes
• The stationarity and invertibility of a class of nonlinear ARMA models
• The invertibility of sampled and aggregated ARMA models
• A note on moving-average models with feedback
• Testing for threshold regulation in presence of measurement error
• Nonlinearity testing and modeling for threshold moving average models
• On the inversion of an autoregressive process of finite order
• Testing for Threshold Effects in the TARMA Framework
• The marginal density of a TMA(1) process
• Inverse exponential decay: stochastic fixed point equation and ARMA models
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes

Uses Software

• TSA

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