On Markov-switching ARMA processes – stationarity, existence of moments and geometric ergodicity
نویسنده
چکیده
The probabilistic properties of R-valued Markov-Switching ARMA processes with a general state space parameter chain are analysed. Stationarity and ergodicity conditions are given and a feasible general stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent. We also consider finiteness of moments and prove geometric ergodicity and strong mixing. The feasible stationarity condition is extended to ensure these properties. AMS Subject Classification 2000: 60G10, 60J10
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تاریخ انتشار 2006