- 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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