High-order self-excited threshold integer-valued autoregressive model: estimation and testing

DOI10.1007/S40304-022-00325-3MaRDI QIDQ7021256zbMATH OpenFDO

Authors Kai Yang, Ang Li, Han Li, Xiaogang Dong

Publication date 28 February 2025

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

zbMATH Keywords

threshold autoregressive modelinteger-valued time seriesnonlinearity testSETINAR\((2,p)\) process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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