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| 題 名 | Stability of Cyclic Threshold and Threshold-Like Autoregressive Time Series Models |
|---|---|
| 作 者 | Boucher, Thomas R.; Cline, Daren B. H.; | 書刊名 | Statistica Sinica |
| 卷 期 | 17:1 2007.01[民96.01] |
| 頁 次 | 頁43-62 |
| 分類號 | 319.9 |
| 關鍵詞 | Ergodicity; Markov chain; Nonlinear autoregressive time series; Nonlinear time series; Threshold autoregressive time series; |
| 語 文 | 英文(English) |
| 英文摘要 | We investigate the stability, in terms of V-uniform ergodicity or transience, of cyclic threshold autoregressive time series models. These models cycle through one of a number of collections of subregions of the state space when the process is large. Our results can be applied in cases where the model has multiple cycles and/or affine thresholds. The bounds on the parameter space are sharper than those in previous results, and are easily verified. We extend these results to autoregressive nonlinear time series that can be approximated well by a threshold model (threshold-like). |
本系統中英文摘要資訊取自各篇刊載內容。