Communications of the Korean Mathematical Society (대한수학회논문집)

Korean Mathematical Society (대한수학회)
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IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING

  • Lee, Oe-Sook (Department of Statistics Ewha Womans University)
  • Published : 2006.07.01
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Abstract

We consider a autoregressive moving average process of order p and q with Markov switching coefficients and find sufficient conditions for irreducibility of the process. Identifying small sets is also examined.

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References

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