Journal article
Existence and stability of continuous time threshold ARMA processes
Statistica Sinica, Vol.6(3), pp.715-732
07/01/1996
Abstract
In this paper we define a class of continuous-time threshold ARMA (CTARMA) processes uniquely in terms of the weak solution of a certain stochastic differential equation, and investigate stability properties of these processes. We apply criteria for stability of weak solutions (see Meyn and Tweedie (1993b), Stramer and Tweedie (1994) and Stramer and Tweedie (1996)) to CTARMA processes and thus obtain criteria for transience, Harris recurrence, positive Harris recurrence and geometric ergodicity for these processes. In order to do this it is shown that CTARMA processes satisfy suitable continuity conditions, and so can be analyzed as phi-irreducible T-processes (Meyn and Tweedie (1993b)).
Details
- Title: Subtitle
- Existence and stability of continuous time threshold ARMA processes
- Creators
- O StramerR L TweedieP J Brockwell
- Resource Type
- Journal article
- Publication Details
- Statistica Sinica, Vol.6(3), pp.715-732
- Publisher
- STATISTICA SINICA
- ISSN
- 1017-0405
- eISSN
- 1996-8507
- Number of pages
- 18
- Language
- English
- Date published
- 07/01/1996
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257735602771
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