• Journal of the Korean Data and Information Science Society
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• 제18권1호
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• pp.211-218
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• 2007

Nonlinear ARMA model $X_n\;=\;h(X_{n-1},{\cdots},X_{n-p},e_{n-1},{\cdots},e_{n-p})+e_n$ is considered and easy-to-check sufficient condition for strict stationarity of {$X_n$} without some irreducibility or continuity assumption is given. Threshold ARMA(p, q) and momentum threshold ARMA(p, q) models are examined as special cases.