Identification of threshold autoregressive moving average models
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Cites work
- 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 1423406 (Why is no real title available?)
- A STUDY OF THE APPLICATION OF STATE-DEPENDENT MODELS IN NON-LINEAR TIME SERIES ANALYSIS
- A Tukey nonadditivity-type test for time series nonlinearity
- A multiple-threshold AR(1) model
- A new look at the statistical model identification
- A review of threshold time series models in finance
- Analysis of Financial Time Series
- Conditional Heteroscedastic Time Series Models
- Dynamic system identification. Experiment design and data analysis
- Ergodicity and invertibility of threshold moving-average models
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
- Nonlinearity tests for time series
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On maximum likelihood estimators for a threshold autoregression
- On strict stationarity and ergodicity of a non-linear ARMA model
- On the least squares estimation of multiple-regime threshold autoregressive models
- On the least squares estimation of threshold autoregressive and moving-average models
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- On threshold moving-average models
- Recursive estimation of mixed autoregressive-moving average order
- STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
- Sample Splitting and Threshold Estimation
- Some Algorithms for Linear Spline and Piecewise Multiple Linear Regression
- Strong consistency of least squares estimators in linear regression models
- Testing a linear time series model against its threshold extension
- Testing and Modeling Threshold Autoregressive Processes
- Testing for a linear MA model against threshold MA models
- Testing for threshold autoregression
- Testing for threshold autoregression with conditional heteroscedasticity
- The Lindeberg-Levy Theorem for Martingales
Cited in
(11)- On threshold moving-average models
- scientific article; zbMATH DE number 4041765 (Why is no real title available?)
- Testing a linear ARMA model against threshold-ARMA models: a Bayesian approach
- Nonlinearity testing and modeling for threshold moving average models
- An empirical study on the parsimony and descriptive power of TARMA models
- scientific article; zbMATH DE number 3899997 (Why is no real title available?)
- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
- scientific article; zbMATH DE number 4178489 (Why is no real title available?)
- Empirical power comparisons of some tests for low order threshold models
- Identification of TAR models using recursive estimation
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