The dependence structure of a family of self exciting threshold autoregressive moving average (SETARMA) models is investigated. An alternative representation for this class of models is proposed and the exact autocorrelation function is derived in the case of two regimes. Some practical implications of the theoretical results are analysed and discussed via several examples of SETARMA structures of fixed orders.
The autocorrelation function in SETARMA models in
AMENDOLA, Alessandra;NIGLIO, Marcella;VITALE, Cosimo Damiano
2007-01-01
Abstract
The dependence structure of a family of self exciting threshold autoregressive moving average (SETARMA) models is investigated. An alternative representation for this class of models is proposed and the exact autocorrelation function is derived in the case of two regimes. Some practical implications of the theoretical results are analysed and discussed via several examples of SETARMA structures of fixed orders.File in questo prodotto:
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