A Functional Central Limit Theorem for an ARMA(p, q) Process with Markov Switching

Title & Authors
A Functional Central Limit Theorem for an ARMA(p, q) Process with Markov Switching
Lee, Oesook;

Abstract
In this paper, we give a tractable sufficient condition for functional central limit theorem to hold in Markov switching ARMA (p, q) model.
Keywords
Functional central limit theorem;Markov switching ARMA (p, q) process;$\small{{\varphi}}$-mixing;
Language
English
Cited by
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