IRREDUCIBILITY OF ARMA(p, q) PROCESS WITH MARKOV SWITCHING

被引：0

作者：

Lee, Oesook ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

COMMUNICATIONS OF THE KOREAN MATHEMATICAL SOCIETY | 2006年 / 21卷 / 03期

关键词：

ARMA(p; q); model; Markov switching; irreducibility; small set;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We consider a autoregressive moving average process of order p and q with Markov switching coefficients and find sufficient conditions for irreducibility of the process. Identifying small sets is also examined.

引用

页码：533 / 541

页数：9

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