Estimation of a multiple-threshold AR(p) model

DOI10.1016/J.STAMET.2007.08.004MaRDI QIDQ713826zbMATH OpenOpenAlexFDO

Authors Ouagnina Hili

Publication date 19 October 2012

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2007.08.004

zbMATH Keywords

asymptotic normalityconsistencyminimum Hellinger distance estimationself-exciting threshold autoregressive modelstationarity

Mathematics Subject Classification ID

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

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Cites work

• A multiple-threshold AR(1) model
• A threshold AR(1) model
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• scientific article; zbMATH DE number 3840941 (Why is no real title available?)
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• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 58259 (Why is no real title available?)
• scientific article; zbMATH DE number 972663 (Why is no real title available?)
• Minimum Hellinger distance estimates for parametric models
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• On the estimation of -ARCH models
• On the estimation of nonlinear time series models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• The existence of moments for stationary Markov chains

Cited in

(3)

• On the estimation of multiple order autoregressive time series models
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