Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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On Stationarity of TARMA(p,q) Process

  • Lee, Oesook (Department of Statistics, Ewha Womans University) ;
  • Lee, Mihyun (Department of Statistics, Ewha Womans University)
  • Published : 2001.03.01
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Abstract

We consider the threshold autoregressive moving average(TARMA) process and find a sufficient condition for strict stationarity of the proces. Given region for stationarity of TARMA(p,q) model is the same as that of TAR(p) model given by Chan and Tong(1985), which shows that the moving average part of TARMA(p,q) process does not affect the stationarity of the process. We find also a sufficient condition for the existence of kth moments(k$\geq$1) of the process with respect to the stationary distribution.

Keywords

References

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