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http://dx.doi.org/10.4134/CKMS.2006.21.3.533

IRREDUCIBILITY OF ARMA(p,q) PROCESS WITH MARKOV SWITCHING  

Lee, Oe-Sook (Department of Statistics Ewha Womans University)
Publication Information
Communications of the Korean Mathematical Society / v.21, no.3, 2006 , pp. 533-541 More about this Journal
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;
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