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IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING
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 Title & Authors
IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING
Lee, Oe-Sook;
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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.
 Keywords
ARMA(p,q) model;Markov switching;irreducibility;small set;
 Language
English
 Cited by
 References
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