Abstract
The threshold ARMA model has been extensively studied in the literature. However, except for some special cases, its ergodicity is not clear up to now. This article provides a sufficient condition for the ergodicity of the general multiple threshold ARMA model.
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Acknowledgements
The authors would like to thank the Editor Hiroki Masuda, AE and the referees for their very helpful comments that improved the presentation. The research was partially supported by the Hong Kong Research Grants Commission (16301620, 16300621, 16500522 and SRFS2223-6S02).
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Bai, Q., Ling, S. On ergodicity of threshold ARMA(m, p, q) models. Jpn J Stat Data Sci (2024). https://doi.org/10.1007/s42081-024-00248-z
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DOI: https://doi.org/10.1007/s42081-024-00248-z