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Fonseca, Giovanni (2000) On the stability of threshold arma models. [Working Paper] WORKING PAPER SERIES, 2/2000 . , PADOVA (Inedito)

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Abstract (english)

In this paper we drive a sufficient condition of the coefficients of the model to ensure the stationarity and the ergodicity of the process, without imposing extra-conditions on the thresholds nor assuming the T-continuity of the related Markovian representation.

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EPrint type:Working Paper
Anno di Pubblicazione:March 2000
Key Words:Threshold ARMA processes, stationary processes, ergodicity.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7568
Depositato il:19 Mar 2015 13:02
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