Stationarity of Generalized Autoregressive Moving Average Models
| dc.contributor.author | Woodard, Dawn | |
| dc.contributor.author | Matteson, David | |
| dc.contributor.author | Henderson, Shane | |
| dc.date.accessioned | 2011-03-30T16:18:27Z | |
| dc.date.available | 2011-03-30T16:18:27Z | |
| dc.date.issued | 2010-10-28 | |
| dc.description.abstract | Time series models are often constructed by combining nonstationary effects such as trends with stochastic processes that are believed to be stationary. Although stationarity of the underlying process is typically crucial to ensure desirable properties or even validity of statistical estimators, there are numerous time series models for which this stationarity is not yet proven. A major barrier is that the most commonly-used methods assume phi-irreducibility, a condition that can be violated for the important class of discrete-valued observation-driven models. We show (strict) stationarity for the class of Generalized Autoregressive Moving Average (GARMA) models, which provides a flexible analogue of ARMA models for count, binary, or other discrete-valued data. We do this from two perspectives. First, we show stationarity and ergodicity of a perturbed version of the GARMA model, and show that the perturbed model yields parameter estimates that are arbitrarily close to those of the original model. This approach utilizes the fact that the perturbed model is phi-irreducible. Second, we show that the original GARMA model has a unique stationary distribution (so is strictly stationary when initialized in that distribution). | en_US |
| dc.identifier.uri | https://hdl.handle.net/1813/22495 | |
| dc.publisher | eCommons@Cornell | en_US |
| dc.subject | ergodicity | en_US |
| dc.subject | stationary | en_US |
| dc.title | Stationarity of Generalized Autoregressive Moving Average Models | en_US |
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