On maximum likelihood estimators for a threshold autoregression
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- A multiple-threshold AR(1) model
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Efficient estimation in nonlinear autoregressive time-series models
- ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- Some Useful Functions for Functional Limit Theorems
- The limiting log-likelihood process for discontinuous density families
- Threshold models in non-linear time series analysis
Cited in
(22)- A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
- Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
- scientific article; zbMATH DE number 2049004 (Why is no real title available?)
- Changepoint estimation in a segmented linear regression via empirical likelihood
- Bootstrap order selection for SETAR models
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
- Identification of threshold autoregressive moving average models
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- On the stationary marginal distributions of subclasses of multivariate setar processes of order one
- Maximum likelihood estimation of dynamic panel threshold models
- Testing for a linear MA model against threshold MA models
- An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model
- Estimation of generalized threshold autoregressive models
- On the least squares estimation of multiple-regime threshold autoregressive models
- A note on the consistency of a robust estimator for threshold autoregressive processes
- Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
- Threshold autoregressive models for interval-valued time series data
- Empirical Likelihood for Threshold Autoregressive Models
- Weak convergence of the sequential empirical processes of residuals in TAR models
- Asymptotic theory on the least squares estimation of threshold moving-average models
- Threshold negative binomial autoregressive model
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