On parameter estimation of threshold autoregressive models

DOI10.1007/S11203-011-9064-0zbMath1236.62099arXiv1003.3800OpenAlexW2014601225MaRDI QIDQ411543

Yury A. Kutoyants, Ngai Hang Chan

Publication date: 4 April 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.3800

zbMATH Keywords

compound Poisson processlimit distributionBayesian estimatorcontinuous-time diffusionlimit likelihood rationonlinear threshold models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15)

Related Items (9)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Estimation in threshold autoregressive models with correlated innovations ⋮ LASSO estimation of threshold autoregressive models ⋮ On nonlinear TAR processes and threshold estimation ⋮ Regularized Bayesian estimation of generalized threshold regression models ⋮ Estimation of generalized threshold autoregressive models ⋮ Likelihood estimation and inference in threshold regression ⋮ Optimal change-point estimation in time series ⋮ Statistical Inference for Structurally Changed Threshold Autoregressive Models

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