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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Stelzer, R. 
Titel:
On Markov-switching ARMA processes - stationarity, existence of moments and geometric ergodicity. 
Abstract:
The probabilistic properties of Rd-valued Markov-Switching ARMA processes with a general state space parameter chain are analysed. Stationarity and ergodicity conditions are given and an easy-to-check general sufficient stationarity condition based on a tailormade 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. We also consider finiteness of...    »
 
Stichworte:
Lyapunov exponent, non-linear time series models, stochastic difference equation, strict stationarity, strong mixing, V-uniform ergodicity 
Zeitschriftentitel:
Econometric Theory 
Jahr:
2009 
Band / Volume:
25 
Heft / Issue:
Seitenangaben Beitrag:
43-62 
Reviewed:
ja 
Sprache:
de 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text