On the Ergodicity of Tar(1) Processes
Open Access
- 1 November 1991
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 1 (4) , 613-634
- https://doi.org/10.1214/aoap/1177005841
Abstract
This paper establishes a necessary and sufficient condition for geometrical ergodicity for the general first-order threshold autoregressive processes. This is achieved by investigating the nonlinear dynamic behavior generated by the delay parameter of a threshold model. The ergodic region turns out to be unbounded which is different from that of a linear process.Keywords
This publication has 0 references indexed in Scilit: