Bernoulli

  • Bernoulli
  • Volume 13, Number 1 (2007), 161-168.

Ergodicity and invertibility of threshold moving-average models

Shiqing Ling, Howell Tong, and Dong Li

Full-text: Open access

Abstract

We investigate the first-order threshold moving-average model. We obtain a sufficient condition for a unique strictly stationary and ergodic solution of the model without the need to check irreducibility. We also establish necessary and sufficient conditions for its invertibility of first-order . Furthermore, we discuss the extension of the results to the first-order multiple threshold moving-average model and the higher-order threshold moving-average model.

Article information

Source
Bernoulli, Volume 13, Number 1 (2007), 161-168.

Dates
First available in Project Euclid: 30 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1175287726

Digital Object Identifier
doi:10.3150/07-BEJ5147

Mathematical Reviews number (MathSciNet)
MR2307400

Zentralblatt MATH identifier
1111.62079

Keywords
ergodicity invertibility strict stationarity threshold moving-average model

Citation

Ling, Shiqing; Tong, Howell; Li, Dong. Ergodicity and invertibility of threshold moving-average models. Bernoulli 13 (2007), no. 1, 161--168. doi:10.3150/07-BEJ5147. https://projecteuclid.org/euclid.bj/1175287726


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