Amendola, Alessandra; Niglio, Marcella; Vitale, Cosimo - In: Statistics & Probability Letters 76 (2006) 6, pp. 625-633
This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of...