Generalized multivariate threshold autoregressive models with linearly partitioned threshold space
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Cites work
- A review of threshold time series models in finance
- An empirical study on the parsimony and descriptive power of TARMA models
- An Introduction to Coding Theory and the Two-Part Minimum Description Length Principle
- Break detection for a class of nonlinear time series models
- Change-point in stochastic design regression and the bootstrap
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Consistency of minimum description length model selection for piecewise stationary time series models
- Entropy testing for nonlinear serial dependence in time series
- Estimation of multiple-regime threshold autoregressive models with structural breaks
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 45100 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- Limiting properties of the least squares estimator of a continuous threshold autoregressive model
- Model Selection and the Principle of Minimum Description Length
- Multivariate Hysteretic Autoregressive Models
- Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
- On ergodicity of threshold ARMA(m, p, q) models
- On maximum likelihood estimators for a threshold autoregression
- On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- On the least squares estimation of threshold autoregressive and moving-average models
- On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
- Robust Estimation for Threshold Autoregressive Moving-Average Models
- Testing and Modeling Multivariate Threshold Models
- The bootstrap in threshold regression
- The validity of bootstrap testing for threshold autoregression
- Theory and applications of TAR model with two threshold variables
- Threshold models in non-linear time series analysis
- Threshold models in time series analysis -- some reflections
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