Identification of TAR models using recursive estimation
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Cites work
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- A test for independence based on the correlation dimension
- Adaptive control
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
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- Improved least squares identification
- Improved model selection criteria for SETAR time series models
- Inference in TAR Models
- Nonlinearity tests for time series
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Properties of Predictors for Autoregressive Time Series
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Testing and Modeling Threshold Autoregressive Processes
- Testing for threshold autoregression
- Threshold models in non-linear time series analysis
Cited in
(10)- A sequential procedure for determining the number of regimes in a threshold autoregressive model
- Adaptive parameter estimation in self-exciting threshold autoregressive models
- Modelling asymmetric behaviour in time series: identification through PSO
- scientific article; zbMATH DE number 775746 (Why is no real title available?)
- Using the reversible jump MCMC procedure for identifying and estimating univariate TAR models
- Identification of threshold autoregressive moving average models
- TAR modeling with missing data when the white noise process follows a Student's \(t\)-distribution
- Estimation of multiple-regime threshold autoregressive models with structural breaks
- Threshold autoregressive individuals control charts
- LASSO estimation of threshold autoregressive models
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