On continuous-time threshold ARMA processes

DOI10.1016/0378-3758(94)90210-0zbMath0797.62072OpenAlexW2047021902WikidataQ127564798 ScholiaQ127564798MaRDI QIDQ1330197

Peter J. Brockwell

Publication date: 8 September 1994

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

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90210-0

zbMATH Keywords

Brownian motioncharacteristic functionwhite noisetransition probabilitiesstate-space representationrecursionsmaximum-likelihood estimationirregularly spaced dataCameron-Martin-Girsanov formulaCanadian Lynx Datacontinuous- time threshold ARMA \((p,q)\) processcontinuous-time threshold autoregressive processesCTARMA processesGaussian likelihoodslikelihood of observationslinear CARMA\((p,q)\) processesunderlying diffusion process

Mathematics Subject Classification ID

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

Related Items (21)

On the approximation of continuous time threshold ARMA processes ⋮ Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data ⋮ Quasi-likelihood estimation of a threshold diffusion process ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ On parameter estimation of threshold autoregressive models ⋮ Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES ⋮ The local linearization scheme for nonlinear diffusion models with discontinuous coefficients ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Generalized Rybicki Press algorithm ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Subsampling Continuous Parameter Random Fields and a Bernstein Inequality ⋮ Unnamed Item ⋮ Testing for Threshold Diffusion ⋮ Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes ⋮ Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients ⋮ THE CARMA INTEREST RATE MODEL ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Discrete and continuous time cointegration ⋮ Structural Laplace Transform and Compound Autoregressive Models

Cites Work

• Threshold models in non-linear time series analysis
• An introduction to bispectral analysis and bilinear time series models
• A multiple-threshold AR(1) model
• The Stability of Random Coefficient Autoregressive Models
• Testing and Modeling Threshold Autoregressive Processes
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On continuous-time threshold ARMA processes