Ergodicity and invertibility of threshold moving-average models
Ling, Shiqing ; Tong, Howell ; Li, Dong
Bernoulli, Tome 13 (2007) no. 1, p. 161-168 / Harvested from Project Euclid
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We investigate the first-order threshold moving-average model. We obtain a sufficient condition for a unique strictly stationary and ergodic solution of the model without the need to check irreducibility. We also establish necessary and sufficient conditions for its invertibility of first-order . Furthermore, we discuss the extension of the results to the first-order multiple threshold moving-average model and the higher-order threshold moving-average model.
Publié le : 2007-02-14
Classification:  ergodicity,  invertibility,  strict stationarity,  threshold moving-average model 
@article{1175287726,
     author = {Ling, Shiqing and Tong, Howell and Li, Dong},
     title = {Ergodicity and invertibility of threshold moving-average models},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 161-168},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175287726}
}

Ling, Shiqing; Tong, Howell; Li, Dong. Ergodicity and invertibility of threshold moving-average models. Bernoulli, Tome 13 (2007) no. 1, pp.  161-168. http://gdmltest.u-ga.fr/item/1175287726/