ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY

DOI10.1017/S0266466608090026zbMath1231.62164MaRDI QIDQ3551016

Robert Stelzer

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes (60J99)

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