On Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity
Stelzer, Robert
On Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity created by Robert Stelzer - On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity Volume 25, number 1 .
The probabilistic properties of ℝd-valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent. Finiteness of moments is also considered and geometric ergodicity and strong mixing are proven. The easily verifiable sufficient stationarity condition is extended to ensure these properties.
02664666
Theory--Stochastic process--ARMA-Modell
HB139.T52 ECO
On Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity created by Robert Stelzer - On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity Volume 25, number 1 .
The probabilistic properties of ℝd-valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent. Finiteness of moments is also considered and geometric ergodicity and strong mixing are proven. The easily verifiable sufficient stationarity condition is extended to ensure these properties.
02664666
Theory--Stochastic process--ARMA-Modell
HB139.T52 ECO