On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two (Q4339347)
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scientific article; zbMATH DE number 1018374
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| English | On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two |
scientific article; zbMATH DE number 1018374 |
Statements
On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two (English)
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18 February 1998
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threshold autoregression
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stochastic differential equation
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degenerate diffusion
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nonlinear time series
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Cameron-Martin-Girsanov formula
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random time-change
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martingale problem
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0.8346747159957886
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0.8298520445823669
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