On strict stationarity and ergodicity of a non-linear ARMA model

DOI10.2307/3214573zbMath0753.62059OpenAlexW2314152218MaRDI QIDQ4018329

Edward Susko, Jian Liu

Publication date: 16 January 1993

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214573

zbMATH Keywords

ergodicityirreducibilitynecessary and sufficient conditionexistence of a strictly stationary solution of a general nonlinear ARMA modelmoving average componentthreshold \(\text{ARMA}(1,q)\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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