In our contribution the weak stationarity is faced for a nonlinea multivariate time series model called Threshold Vector Autoregressive Moving Average. Its stochastic structure is based on k VARMA regimes whose switching among them is based on a univariate theshold variable. After the presentation of the model, the stationarity conditions are depicted generalizing some results given in the univariate domain for the threshold models.
On the Stationarity of Threshold Models with Multiple Variables
NIGLIO, Marcella;VITALE, Cosimo Damiano
2012-01-01
Abstract
In our contribution the weak stationarity is faced for a nonlinea multivariate time series model called Threshold Vector Autoregressive Moving Average. Its stochastic structure is based on k VARMA regimes whose switching among them is based on a univariate theshold variable. After the presentation of the model, the stationarity conditions are depicted generalizing some results given in the univariate domain for the threshold models.File in questo prodotto:
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