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Titel:

On Markov-switching ARMA processes - stationarity, existence of moments and geometric ergodicity.

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Stelzer, R.
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 moment...     »
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:
1
Seitenangaben Beitrag:
43-62
Reviewed:
ja
Sprache:
de
Status:
Verlagsversion / published
Semester:
SS 09
Format:
Text
 BibTeX