Estimation of generalized threshold autoregressive models

DOI10.1080/03610926.2022.2029896MaRDI QIDQ6164720zbMATH OpenOpenAlexFDO

Authors Rong-Mao Zhang, Jian-hua Shi

Publication date 28 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2029896

zbMATH Keywords

Bayesian estimatorcompound Poisson processnonlinear time seriesthreshold AR models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Asymptotic theory on the least squares estimation of threshold moving-average models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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• Inference in TAR Models
• Nonlinear time series. Nonparametric and parametric methods
• On maximum likelihood estimators for a threshold autoregression
• On parameter estimation of threshold autoregressive models
• On the least squares estimation of multiple-regime threshold autoregressive models
• Sample Splitting and Threshold Estimation
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Threshold models in non-linear time series analysis

Cited in

(3)

• Estimation for binary models generated by Gaussian autoregressive processes
• scientific article; zbMATH DE number 7295288 (Why is no real title available?)
• scientific article; zbMATH DE number 7708021 (Why is no real title available?)

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