TY  - BOOK
AU  - Stelzer,Robert
TI  - On Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Theory
KW  - ARMA-Modell
KW  - Stochastic process
N2  - 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
UR  - https://doi.org/10.1017/S0266466608090026
ER  -