Nested sub-sample search algorithm for estimation of threshold models
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Cited in
(30)- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- Threshold negative binomial autoregressive model
- First-order random coefficients integer-valued threshold autoregressive processes
- Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models
- Multivariate threshold integer-valued autoregressive processes with explanatory variables
- A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
- On a periodic SETINAR model
- Penalized estimation of threshold auto-regressive models with many components and thresholds
- Efficient estimation in semiparametric self-exciting threshold INAR processes
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- Quantile regression estimation for self-exciting threshold integer-valued autoregressive process
- Information quantity evaluation of nonlinear time series processes and applications
- On a periodic negative binomial SETINAR model
- A class of mixed thinning threshold integer-valued autoregressive model for the COVID-19 data
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- Multivariate Hysteretic Autoregressive Models
- Statistical inference for self-exciting threshold INAR processes with missing values
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Segment regression model average with multiple threshold variables and multiple structural breaks
- Local asymptotic normality and optimal estimation for self-excited threshold generalized INAR(p) models
- High-order self-excited multiple thresholds generalized integer-valued autoregressive model
- Efficient and accurate variational inference for multilevel threshold autoregressive models in intensive longitudinal data
- Weighted forecasts from SETARs with single- and multiple thresholds
- Forecasting based on a multivariate autoregressive threshold model (MTAR) with a multivariate Student’s t error distribution: A Bayesian approach
- A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning
- A first-order random coefficient mixed-thinning threshold integer-valued autoregressive model to analyze the COVID-19 data
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