The stationarity and invertibility of a class of nonlinear ARMA models |
| |
Authors: | CHEN DanQing & WANG HaiBin |
| |
Affiliation: | CHEN DanQing1,2 & WANG HaiBin2 1Department of Mathematics and Physics,Fujian University of Technology,Fuzhou 350108,China,2 School of Mathematical Sciences,Xiamen University,Xiamen 361005 |
| |
Abstract: | We investigate some probabilistic properties of a new class of nonlinear time series models. A sufficient condition for the existence of a unique causal, strictly and weakly stationary solution is derived. To understand the proposed models better, we further discuss the moment structure and obtain some Yule-Walker difference equations for the second and third order cumulants, which can also be used for identification purpose. A sufficient condition for invertibility is also provided. |
| |
Keywords: | auto-covariance invertibility stationarity time series Yule-Walker difference equation |
本文献已被 CNKI 等数据库收录! |
|