On geometric ergodicity of the MTAR process

DOI10.1016/S0167-7152(99)00208-4zbMath0976.60025OpenAlexW2050648086WikidataQ127147843 ScholiaQ127147843MaRDI QIDQ1573120

Dong Wan Shin, Oesook Lee

Publication date: 2 January 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00208-4

zbMATH Keywords

asymmetryergodicitytransiencestationaritynonstationarity

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Stochastic processes (60G99)

Related Items (6)

Asymmetry and nonstationarity for a seasonal time series model ⋮ Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach ⋮ Testing for cointegration with threshold adjustment in the presence of structural breaks ⋮ Ergodicity and existence of moments for local mixtures of linear autoregressions ⋮ A note on stationarity of the MTAR process on the boundary of the stationarity region ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.

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