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February 2007 Ergodicity and invertibility of threshold moving-average models
Shiqing Ling, Howell Tong, Dong Li
Bernoulli 13(1): 161-168 (February 2007). DOI: 10.3150/07-BEJ5147

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.

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Shiqing Ling. Howell Tong. Dong Li. "Ergodicity and invertibility of threshold moving-average models." Bernoulli 13 (1) 161 - 168, February 2007. https://doi.org/10.3150/07-BEJ5147

Information

Published: February 2007
First available in Project Euclid: 30 March 2007

zbMATH: 1111.62079
MathSciNet: MR2307400
Digital Object Identifier: 10.3150/07-BEJ5147

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability

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Vol.13 • No. 1 • February 2007
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