Ergodicity and invertibility of threshold moving-average models

Abstract

We investigate the first-order threshold moving-average model. We obtain a sufficient condition for a unique strictly stationary and ergodic solution of the model without the need to check irreducibility. We also establish necessary and sufficient conditions for its invertibility of first-order. Furthermore, we discuss the extension of the results to the first-order multiple threshold moving-average model and the higher-order threshold moving-average model. © 2007 ISI/BS.