Ergodicity and invertibility of threshold moving-average models

DOI10.3150/07-BEJ5147zbMath1111.62079OpenAlexW2143203728MaRDI QIDQ880479

Howell Tong, Dong Li, Shiqing Ling

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/07-bej5147

zbMATH Keywords

ergodicityinvertibilitystrict stationaritythreshold moving-average model

Mathematics Subject Classification ID

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

Related Items (18)

Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ An empirical study on the parsimony and descriptive power of TARMA models ⋮ Estimation in threshold autoregressive models with correlated innovations ⋮ Testing for Threshold Effects in the TARMA Framework ⋮ On moving-average models with feedback ⋮ The Marginal Density of a TMA(1) Process ⋮ Deviation inequalities and moderate deviations for estimators of parameters in TAR models ⋮ Unnamed Item ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes ⋮ A note on moving‐average models with feedback ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ The stationarity and invertibility of a class of nonlinear ARMA models ⋮ Bayesian subset selection for threshold autoregressive moving-average models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ Statistical Properties of Threshold Models ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

This page was built for publication: Ergodicity and invertibility of threshold moving-average models