- Title
- On the classification of a first-order Smooth Threshold Autoregressive (STAR(1)) model
- Creator
- Nur, Darfiana; Nair, Gopalan M.; Yatawara, Nihal D.
- Relation
- Journal of Applied Probability and Statistics Vol. 7, Issue 1, p. 17-34
- Relation
- http://japs.isoss.net/may12.htm
- Publisher
- Dixie W Publishing Corporation
- Resource Type
- journal article
- Date
- 2012
- Description
- This paper establishes a necessary and sufficient condition for recurrence and ergodicity for the general first-order smooth threshold autoregressive processes. Depending on the tail behaviour of the smoothing distribution function, we give necessary and sufficient conditions under which the process is ergodic, null recurrent or transient.
- Subject
- nonlinear time series; smooth threshold autoregressive model; ergodic; null recurrent; transient
- Identifier
- http://hdl.handle.net/1959.13/1306448
- Identifier
- uon:21186
- Identifier
- ISSN:1930-6792
- Language
- eng
- Reviewed
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