000			01587nam a22002417a 4500
003			ZW-GwMSU
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008			240322b |||||||| |||| 00| 0 eng d
022			_a02664666
040			_aMSU _bEnglish _cMSU _erda
050	0	0	_aHB139.T52 ECO
100	1		_aStelzer, Robert _eauthor
245	1	0	_aOn Markov-switching ARMA processes stationarity, existence of moments, and geometric ergodicity _ccreated by Robert Stelzer
264	1		_aCambridge: _bCambridge University Press, _c2009.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aOn Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity _vVolume 25, number 1
520	3		_aThe 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.
650			_aTheory _vARMA-Modell _xStochastic process
856			_uhttps://doi.org/10.1017/S0266466608090026
942			_2lcc _cJA
999			_c164489 _d164489