On the necessary conditions for ergodicity of smooth threshold autoregressive (1) processes with general delay parameter

Title: On the necessary conditions for ergodicity of smooth threshold autoregressive (1) processes with general delay parameter
Creator: Nur, D.; Nair, G. M.
Publisher Link: http://dx.doi.org/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
Publisher: The American University in Cairo
Resource Type: conference paper
Date: 2009
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.
Subject: ergodicity; non-linear time series; smooth threshold autoregressive
Identifier: uon:9038
Identifier: http://hdl.handle.net/1959.13/919978

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