Continuous-time threshold AR(1) processes

DOI10.2307/1428178MaRDI QIDQ4715303zbMATH OpenOpenAlexFDO

Authors O. Stramer, R. L. Tweedie, Peter J. Brockwell

Publication date 24 February 1997

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1428178

zbMATH Keywords

approximation of diffusion processescontinuous-time autoregressionexponential ergodicityGaussian likelihoodnonlinear time seriesrecurrencestationary distributionstochastic differential equation

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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