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

Qiang Bai; Shiqing Ling

doi:10.1007/s42081-024-00248-z

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

Qiang Bai, Shiqing Ling^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	667-675
Number of pages	9
Journal	Japanese Journal of Statistics and Data Science
Volume	7
Issue number	2
Early online date	6 May 2024
DOIs	https://doi.org/10.1007/s42081-024-00248-z
Publication status	Published - Nov 2024

Bibliographical note

Publisher Copyright:
© The Author(s) under exclusive licence to Japanese Federation of Statistical Science Associations 2024.

Keywords

TAR model
Threshold model
TARMA model
Stationarity and ergodicity

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10.1007/s42081-024-00248-zLicence: Unspecified

Cite this

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

abstract = "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.",

keywords = "TAR model, Threshold model, TARMA model, Stationarity and ergodicity",

author = "Qiang Bai and Shiqing Ling",

note = "Publisher Copyright: {\textcopyright} The Author(s) under exclusive licence to Japanese Federation of Statistical Science Associations 2024.",

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AU - Bai, Qiang

AU - Ling, Shiqing

N1 - Publisher Copyright: © The Author(s) under exclusive licence to Japanese Federation of Statistical Science Associations 2024.

PY - 2024/11

Y1 - 2024/11

N2 - 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.

AB - 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.

KW - TAR model

KW - Threshold model

KW - TARMA model

KW - Stationarity and ergodicity

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DO - 10.1007/s42081-024-00248-z

M3 - Journal Article

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SP - 667

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JO - Japanese Journal of Statistics and Data Science

JF - Japanese Journal of Statistics and Data Science

IS - 2

ER -

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

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Statistical Inferences of the Heavy-tailed Multivariate ARMA-GARCH Model with Change-point and Threshold Effects

Self-weighted LADE-based Inference for the Structure-changed and Heavy-tailed ARMA Model with Unspecified ARCH-type Noises

Simultaneous Testing of Change-points with a Threshold in a General Class of Time Series Models

Cite this

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

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Projects

Statistical Inferences of the Heavy-tailed Multivariate ARMA-GARCH Model with Change-point and Threshold Effects

Self-weighted LADE-based Inference for the Structure-changed and Heavy-tailed ARMA Model with Unspecified ARCH-type Noises

Simultaneous Testing of Change-points with a Threshold in a General Class of Time Series Models

Cite this