On Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity created by Robert Stelzer

By:

Stelzer, Robert [author]

Material type: Text

TextSeries: On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity ; Volume 25, number 1Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Theory -- ARMA-Modell -- Stochastic process

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: 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.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.1 (pages 43-62)	SP3256	Not for loan	For In House Use Only

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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.

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