A note on the stationarity of a threshold first-order bilinear process

DOI10.1016/S0167-7152(98)00144-8zbMath0933.60033OpenAlexW2090546544MaRDI QIDQ1305226

Nunzio Cappuccio, Giovanni Fonseca, Marco Ferrante

Publication date: 27 March 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00144-8

zbMATH Keywords

stationary processFeller propertygeometrically ergodic processthreshold bilinear process

Mathematics Subject Classification ID

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

Cites Work

• Markov chains and stochastic stability
• On the first-order bilinear time series model

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