A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

DOI10.1016/j.econlet.2007.01.007zbMath1255.91361OpenAlexW2087621959MaRDI QIDQ1934115

Oesook Lee, Dong Wan Shin

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.01.007

zbMATH Keywords

ergodicitygeometric ergodicitymin-max modelintegrated m-m processmultiple-threshold \(AR(1)\) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Ergodicity, mixing, rates of mixing (37A25)

Cites Work

• Unnamed Item
• Introduction to m-m processes
• A note on the ergodicity of nonlinear autoregressive model
• A multiple-threshold AR(1) model
• A note on stationarity of the MTAR process on the boundary of the stationarity region

This page was built for publication: A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes