On geometric ergodicity of the MTAR process

Oesook Lee, Dong Wan Shin

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


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 languageEnglish
Pages (from-to)229-237
Number of pages9
JournalStatistics and Probability Letters
Issue number3
StatePublished - 1 Jul 2000


  • Asymmetry
  • Ergodicity
  • Nonstationarity
  • Stationarity
  • Transience


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