Efficient estimation in smooth threshold autoregressive(1) models

DOI10.1080/15598608.2008.10411862MaRDI QIDQ2324066zbMATH OpenOpenAlexFDO

Authors D. Nur, N. D. Yatawara, G. M. Nair

Publication date 13 September 2019

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1959.13/41259

zbMATH Keywords

stationaritynonlinear time seriesefficient estimationadaptive estimationlocally asymptotically normalsmooth threshold autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Adaptive estimation of the threshold point in threshold regression
• Adaptive estimation of periodic first-order threshold autoregressive model

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