Stability conditions for limit cycle of Smooth Transition Hyperbolic Tangent Autoregressive model

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Rouaa I. Mohammed, Azher A. Mohammad


In this paper, we suggest one of a discrete time non-linear time series model, known as Smooth transition Hyperbolic tangent Autoregressive model of order STtanhAR(p) , and finding stability condition of a limit cyclewhen the model processes a limit cycle of period  .  At first we find a stability condition of a limit cycle of STtanhAR(1)  by using a local linearization method , then generalized this conditions to the p-order model with tow examples.

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