On ergodicity of threshold ARMA(m, p, q) models

The threshold ARMA model has been extensively studied in the literature. However, except for some special cases, its ergodicity is not clear up to now. This article provides a sufficient condition for the ergodicity of the general multiple threshold ARMA model.

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Bibliographic Details
Published in:	Japanese journal of statistics and data science Vol. 7; no. 2; pp. 667 - 675
Main Authors:	Bai, Qiang, Ling, Shiqing
Format:	Journal Article
Language:	English
Published:	Singapore Springer Nature Singapore 01-11-2024
Subjects:	Chemistry and Earth Sciences Computer Science Economics Finance Health Sciences Humanities Insurance Law Management Mathematics and Statistics Medicine Original Paper Physics Statistical Theory and Methods Statistics Statistics and Computing/Statistics Programs Statistics for Business Statistics for Engineering Statistics for Life Sciences Statistics for Social Sciences TAR model TARMA model Stationarity and ergodicity Threshold model
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Description
Summary:	The threshold ARMA model has been extensively studied in the literature. However, except for some special cases, its ergodicity is not clear up to now. This article provides a sufficient condition for the ergodicity of the general multiple threshold ARMA model.
ISSN:	2520-8756 2520-8764
DOI:	10.1007/s42081-024-00248-z