Probabilistic properties of a nonlinear ARMA process with markov switching

Oesook Lee

doi:10.1081/STA-200045822

Probabilistic properties of a nonlinear ARMA process with markov switching

Oesook Lee

Department of Statistics

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

8 Scopus citations

Abstract

We consider a nonlinear autoregressive moving average (ARMA) process with Markov switching and find sufficient conditions for strict stationarity, geometric ergodicity, and the existence of moments of the process with respect to the stationary distribution. Functional central limit theorem is also obtained.

Original language	English
Pages (from-to)	193-204
Number of pages	12
Journal	Communications in Statistics - Theory and Methods
Volume	34
Issue number	1
DOIs	https://doi.org/10.1081/STA-200045822
State	Published - 2005

Keywords

Functional central limit theorem
Geometric ergodicity
Markov switching
Moment
Nonlinear ARMA(p, q) model
Stationarity

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10.1081/STA-200045822

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abstract = "We consider a nonlinear autoregressive moving average (ARMA) process with Markov switching and find sufficient conditions for strict stationarity, geometric ergodicity, and the existence of moments of the process with respect to the stationary distribution. Functional central limit theorem is also obtained.",

keywords = "Functional central limit theorem, Geometric ergodicity, Markov switching, Moment, Nonlinear ARMA(p, q) model, Stationarity",

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KW - Functional central limit theorem

KW - Geometric ergodicity

KW - Markov switching

KW - Moment

KW - Nonlinear ARMA(p, q) model

KW - Stationarity

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M3 - Article

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EP - 204

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 1

ER -

Probabilistic properties of a nonlinear ARMA process with markov switching

Abstract

Keywords

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