Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching

DOI10.1081/STA-200045822zbMath1062.62190MaRDI QIDQ4678804

Oesook Lee

Publication date: 23 May 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

functional central limit theoremmomentstationarityMarkov switchinggeometric ergodicityq) modelnonlinear ARMA(p

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

Minimum distance estimation of Markov-switching bilinear processes ⋮ Synthetic learner: model-free inference on treatments over time ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ On Markov-switching periodicARMAmodels ⋮ On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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