On maximum likelihood estimators for a threshold autoregression

DOI10.1016/S0378-3758(98)00113-XzbMath0953.62098MaRDI QIDQ1299006

Lianfen Qian

Publication date: 29 January 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

coefficient parameter estimator; n-consistency

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62F10: Point estimation

Related Items

Changepoint Estimation in a Segmented Linear Regression via Empirical Likelihood, Weak convergence of the sequential empirical processes of residuals in TAR models, Testing for a linear MA model against threshold MA models, A note on the consistency of a robust estimator for threshold autoregressive processes, ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

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