Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (Q515145)
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scientific article; zbMATH DE number 6693814
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| English | Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models |
scientific article; zbMATH DE number 6693814 |
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Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models (English)
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10 March 2017
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heavy-tailed time series
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TAR models
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self-weighted LADE
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Wald test and sign-based portmanteau test
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0.935297667980194
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0.9345946907997132
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0.8481895923614502
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0.8039402961730957
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