대한수학회논문집 (Communications of the Korean Mathematical Society)

  • 제21권3호
  • /
  • Pages.533-541
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  • 2006
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  • 1225-1763(pISSN)
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  • 2234-3024(eISSN)
대한수학회 (Korean Mathematical Society)
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IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING

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

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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참고문헌

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