Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (Q515145): Difference between revisions

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+Parameter Estimation for Symmetric Stable Distribution
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+Q5560061
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+Extremes of autoregressive threshold processes
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+ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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+A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
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+A multiple-threshold AR(1) model
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+Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
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+THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
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+M-estimation for autoregression with infinite variance
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+Diagnostic Checking in ARMA Models With Uncorrelated Errors
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+Estimation in threshold autoregressive models with a stationary and a unit root regime
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+Sample Splitting and Threshold Estimation
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+\(L_{p}\)-estimators in ARCH models
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+RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
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+On the least squares estimation of multiple-regime threshold autoregressive models
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+ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
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+A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA
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+Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
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+On non-stationary threshold autoregressive models
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+On a measure of lack of fit in time series models
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+Markov chains and stochastic stability
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+Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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+Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
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+Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance
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+WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
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+Testing and Modeling Multivariate Threshold Models
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+Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
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+THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(<i>p</i>,<i>q</i>) MODELS
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+LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
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