A note on the invertibility of nonlinear ARMA models

Journal of Statistical Planning and Inference

Volumn 140, Issue 12, 2010, Pages 3709-3714

  Chan, Kung Sik ^a   Tong, Howell ^b  

^a UNIVERSITY OF IOWA   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Attractor; Dynamical system; Nonlinear time series; Polynomial MA model; Subadditive ergodic theory; Threshold MA model

Indexed keywords

EID: 77955579782     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2010.04.036     Document Type: Article

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