On the classification of a first-order Smooth Threshold Autoregressive (STAR(1)) model

Title: On the classification of a first-order Smooth Threshold Autoregressive (STAR(1)) model
Creator: Nur, Darfiana; Nair, Gopalan M.; Yatawara, Nihal D.
Relation: Journal of Applied Probability and Statistics Vol. 7, Issue 1, p. 17-34
Relation: http://japs.isoss.net/may12.htm
Publisher: Dixie W Publishing Corporation
Resource Type: journal article
Date: 2012
Description: This paper establishes a necessary and sufficient condition for recurrence and ergodicity for the general first-order smooth threshold autoregressive processes. Depending on the tail behaviour of the smoothing distribution function, we give necessary and sufficient conditions under which the process is ergodic, null recurrent or transient.
Subject: nonlinear time series; smooth threshold autoregressive model; ergodic; null recurrent; transient
Identifier: http://hdl.handle.net/1959.13/1306448
Identifier: uon:21186
Identifier: ISSN:1930-6792
Language: eng
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