Sufficient conditions for strict stationarity of MTAR(P) process

Abstract

본 논문에서는 비선형 시계열 모형 중 하나인 차수 p(p≥1)인 momentum threshold AR (MTAR) 모형의 정상성을 만족하는 충분조건을 찾고 증명한 것과 기하학적 에르고딕성과 s차 moment 의 존재성에 대하여 충분조건을 찾았다.;In this paper, we consider the momentum threshold autoregressive process with order p (MTAR(p)). We can find a sufficient condition for strict stationarity of the process and show the property of geometric ergodicity of the process under some mild additional assumption. Given region for stationarity of MTAR(p) model is similar to that of TAR(p) model given by Chan and Tong (1985). We find also a sufficient condition for the existence of th moments(s≥1) of the process with respect to the stationary distribution.