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.
|Number of pages||12|
|Journal||Communications in Statistics - Theory and Methods|
|State||Published - 2005|
- Functional central limit theorem
- Geometric ergodicity
- Markov switching
- Nonlinear ARMA(p, q) model