On the classification of a first-order Smooth Threshold Autoregressive (STAR) model

Darfiana Nur, Gopalan Nair, Nihal Yatawara

    Research output: Contribution to journalArticle

    Abstract

    This paper establishes a necessary and sufficient condition for recurrence and ergodicity for the general first-order smooth threshold autoregressive processes. Depending on the tail behaviour of the smoothing distribution function, we give necessary and sufficient conditions under which the process is ergodic, null recurrent or transient.

    Original languageEnglish
    Pages (from-to)19-34
    Number of pages18
    JournalJournal of Applied Probability and Statistics
    Volume7
    Issue number1
    Publication statusPublished - 2012

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