Irreducibility of ARMA($p,q$) process with Markov switching
Commun. Korean Math. Soc. 2006 Vol. 21, No. 3, 533-541 Printed September 1, 2006
Oesook Lee Ewha Womans University
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
