In this paper we drive a sufficient condition of the coefficients of the model to ensure the stationarity and the ergodicity of the process, without imposing extra-conditions on the thresholds nor assuming the T-continuity of the related Markovian representation.
On the stability of threshold arma models.
Fonseca, Giovanni
2000
Abstract
In this paper we drive a sufficient condition of the coefficients of the model to ensure the stationarity and the ergodicity of the process, without imposing extra-conditions on the thresholds nor assuming the T-continuity of the related Markovian representation.File in questo prodotto:
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