On parameter estimation of threshold autoregressive models (Q411543): Difference between revisions
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| Property / author: Yury A. Kutoyants / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F15 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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| Property / zbMATH DE Number: 6022128 / rank | |||
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| Property / zbMATH Keywords | |||
Bayesian estimator | |||
| Property / zbMATH Keywords: Bayesian estimator / rank | |||
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continuous-time diffusion | |||
| Property / zbMATH Keywords: continuous-time diffusion / rank | |||
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compound Poisson process | |||
| Property / zbMATH Keywords: compound Poisson process / rank | |||
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limit distribution | |||
| Property / zbMATH Keywords: limit distribution / rank | |||
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limit likelihood ratio | |||
| Property / zbMATH Keywords: limit likelihood ratio / rank | |||
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nonlinear threshold models | |||
| Property / zbMATH Keywords: nonlinear threshold models / rank | |||
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Revision as of 19:40, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On parameter estimation of threshold autoregressive models |
scientific article |
Statements
On parameter estimation of threshold autoregressive models (English)
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4 April 2012
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Bayesian estimator
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continuous-time diffusion
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compound Poisson process
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limit distribution
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limit likelihood ratio
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nonlinear threshold models
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