On geometric ergodicity of the MTAR process

Oesook Lee; Dong Wan Shin

doi:10.1016/s0167-7152(99)00208-4

On geometric ergodicity of the MTAR process

Oesook Lee, Dong Wan Shin

Department of Statistics

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

8 Scopus citations

Abstract

We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.

Original language	English
Pages (from-to)	229-237
Number of pages	9
Journal	Statistics and Probability Letters
Volume	48
Issue number	3
DOIs	https://doi.org/10.1016/s0167-7152(99)00208-4
State	Published - 1 Jul 2000

Keywords

Asymmetry
Ergodicity
Nonstationarity
Stationarity
Transience

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10.1016/s0167-7152(99)00208-4

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abstract = "We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.",

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AU - Shin, Dong Wan

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N2 - We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.

AB - We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.

KW - Asymmetry

KW - Ergodicity

KW - Nonstationarity

KW - Stationarity

KW - Transience

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U2 - 10.1016/s0167-7152(99)00208-4

DO - 10.1016/s0167-7152(99)00208-4

M3 - Article

AN - SCOPUS:0008179270

SN - 0167-7152

VL - 48

SP - 229

EP - 237

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 3

ER -

On geometric ergodicity of the MTAR process

Abstract

Keywords

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