Threshold vector ARMA models

DOI10.1080/03610926.2013.814785MaRDI QIDQ2792294zbMATH OpenOpenAlexFDO

Authors Marcella Niglio, Cosimo Damiano Vitale

Publication date 8 March 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.814785

zbMATH Keywords

stationaritythreshold processesvector nonlinear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Local unit roots and global stationarity of TARMA models
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Modelling Nonlinear Economic Time Series
• Multivariate Markov-switching ARMA processes with regularly varying noise
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Stationarity of multivariate Markov-switching ARMA models
• Strict stationarity of generalized autoregressive processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Threshold models in time series analysis -- 30 years on
• Vector threshold moving average models: model specification and invertibility

Cited in

(8)

• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Vector moving average models: a review
• Vector threshold moving average models: model specification and invertibility
• Another approach for the asymptotic properties of threshold vector ARMA models
• scientific article; zbMATH DE number 3899997 (Why is no real title available?)
• Stability in threshold VAR models
• Instability in regime switching models
• scientific article; zbMATH DE number 3978206 (Why is no real title available?)

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