Adaptive parameter estimation in self-exciting threshold autoregressive models

DOI10.1080/03610919808813518MaRDI QIDQ4232099zbMATH OpenOpenAlexFDO

Authors Matthias Arnold, Roland Günther

Publication date 17 August 1999

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610919808813518

zbMATH Keywords

almost sure convergencenonlinear time seriesrecursive estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• A threshold AR(1) model
• An introduction to bispectral analysis and bilinear time series models
• Bayesian analysis of threshold autoregressions
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• scientific article; zbMATH DE number 3176450 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 50093 (Why is no real title available?)
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• Identification and stochastic adaptive control
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS

Cited in

(5)

• A robust algorithm for parameter estimation in smooth transition autoregressive models
• Efficient estimation in smooth threshold autoregressive(1) models
• ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
• Adaptive estimation of periodic first-order threshold autoregressive model
• Efficient estimation in semiparametric self-exciting threshold INAR processes

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