Stability of threshold-like ARMA time series

Daren B.H. Cline and Huay-min H. Pu

Abstract   We study conditions for stability of nonlinear ARMA models and, in particular, we characterize the stability of first order threshold-like ARMA models with delay 2 and affine thresholds.  In doing so, we show that the errors and moving average terms of the model can have a profound effect on stability conditions.  Higher order models are also discussed.

This paper is available in paper or PDF format.  Please click on my name to email a request for a copy.