This paper establishes a necessary and sufficient condition for geometrical ergodicity for the general first-order threshold autoregressive processes. This is achieved by investigating the nonlinear dynamic behavior generated by the delay parameter of a threshold model. The ergodic region turns out to be unbounded which is different from that of a linear process.
Publié le : 1991-11-14
Classification:
Geometrical ergodicity,
nonlinear time series,
threshold autoregressive model,
93E15,
62M99,
93E03
@article{1177005841,
author = {Chen, Rong and Tsay, Ruey S.},
title = {On the Ergodicity of Tar(1) Processes},
journal = {Ann. Appl. Probab.},
volume = {1},
number = {4},
year = {1991},
pages = { 613-634},
language = {en},
url = {http://dml.mathdoc.fr/item/1177005841}
}
Chen, Rong; Tsay, Ruey S. On the Ergodicity of Tar(1) Processes. Ann. Appl. Probab., Tome 1 (1991) no. 4, pp. 613-634. http://gdmltest.u-ga.fr/item/1177005841/