On the Ergodicity of First-Order Threshold Autoregressive Moving-Average Processes
Journal of Time Series Analysis, ISSN: 1467-9892, Vol: 40, Issue: 2, Page: 256-264
2019
- 14Citations
- 180Usage
- 3Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
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Article Description
We introduce a certain Markovian representation for the threshold autoregressive moving-average (TARMA) process with which we solve the long-standing problem regarding the irreducibility condition of a first-order TARMA model. Under some mild regularity conditions, we obtain a complete classification of the parameter space of an invertible first-order TARMA model into parametric regions over which the model is either transient or recurrent, and the recurrence region is further subdivided into regions of null recurrence or positive recurrence, or even geometric recurrence. We derive a set of necessary and sufficient conditions for the ergodicity of invertible first-order TARMA processes.
Bibliographic Details
http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85058034714&origin=inward; http://dx.doi.org/10.1111/jtsa.12440; https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12440; https://dx.doi.org/10.1111/jtsa.12440; https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3330116; https://ssrn.com/abstract=3330116
Wiley
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