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Boletim da Sociedade Paranaense de Matemática
Article . 2025 . Peer-reviewed
License: CC BY
Data sources: Crossref
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On double-switching ARMA processes

descriptionPublicationkeyboard_double_arrow_right Article 27 Jan 2025Publisher:Sociedade Paranaense de MatemáticaJournal:Boletim da Sociedade Paranaense de Matemática, volume 43 (issn: 0037-8712, eissn: 2175-1188, Copyright policy )
Authors: Amel Zerari; Ahmed Ghezal; Imane Zammouri;

doi: 10.5269/bspm.67889

On double-switching ARMA processes

Abstract

In this paper, we introduce a double-switching ARMA model, in which the observed process is an ARMA model subject to Markov switching and a periodic sequence of period s₂. We give conditions for the existence of periodic stationary solutions of the double-switching ARMA and higher-order moments of such solutions in the general vector specification. We provide an expression in closed-form of the autocovariance function of this process and its higher power and therefore admit ARMA representation.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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