On ergodicity of threshold ARMA(m, p, q) models

被引：0
|
作者：
Bai, Qiang [1 ]
Ling, Shiqing [2 ]
机构：
[1] ShanXi Univ Finance & Econ, Tai Yan, Peoples R China
[2] Hong Kong Univ Sci & Technol, Hong Kong, Peoples R China
来源：
JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE | 2024年 / 7卷 / 02期
关键词：
TAR model; Threshold model; TARMA model; Stationarity and ergodicity; GEOMETRIC ERGODICITY;
D O I：
10.1007/s42081-024-00248-z
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The threshold ARMA model has been extensively studied in the literature. However, except for some special cases, its ergodicity is not clear up to now. This article provides a sufficient condition for the ergodicity of the general multiple threshold ARMA model.
引用
收藏
页码：667 / 675
页数：9
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