Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/919978

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Title
On the necessary conditions for ergodicity of smooth threshold autoregressive (1) processes with general delay parameter
Author/Creator
Nur, D.;  Nair, G. M.
Institution
The University of Newcastle. Faculty of Science & Information Technology, School of Mathematical and Physical Sciences
Description
This paper establishes a necessary condition for ergodicity for the general firstorder Smooth Threshold Autoregressive processes with general delay parameter d. This is achieved by investigating the non-linear dynamic behaviour generated by the delay parameter of a smooth threshold model. It turns out that the ergodic region depends on the delay parameter d for which the region is reduced as d increases.
Relation
10th Islamic Countries Conference on Statistical Sciences (ICCS-X). ICCS-X: The 10th Islamic Countries Conference on Statistical Sciences: Statistics for Development and Good Governance (Cairo, Egypt 20-23 December, 2009)
Relation
http://www.iccs-x.org.eg
Date
2009
Publisher
The American University in Cairo
Keyword(s)
ergodicity;  non-linear time series;  smooth threshold autoregressive
Resource Type
conference paper
Identifier
http://hdl.handle.net/1959.13/919978
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"On the necessary conditions for ergodicity of smooth threshold autoregressive (1) processes with general delay parameter"
 
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