On nonlinear TAR processes and threshold estimation

DOI10.3103/S1066530712020056MaRDI QIDQ893070zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 13 November 2015

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.0932

zbMATH Keywords

limit distributionlikelihood inferenceBayes estimatorcompound Poisson processnonlinear threshold modelssingular estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30)

Abstract: We consider the problem of threshold estimation for autoregressive time series with a "space switching" in the situation, when the regression is nonlinear and the innovations have a smooth, possibly non Gaussian, probability density. Assuming that the unknown threshold parameter is sampled from a continuous positive density, we find the asymptotic distribution of the Bayes estimator. As usually in the singular estimation problems, the sequence of Bayes estimators is found to be asymptotically efficient, attaining the minimax risk lower bound.

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Cites work

• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Markov Chains and Stochastic Stability
• On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
• On identification of the threshold diffusion processes
• On parameter estimation of threshold autoregressive models
• Threshold models in time series analysis -- 30 years on

Cited in

(6)

• Translation invariant statistical experiments with independent increments
• Estimation in threshold autoregressive models with correlated innovations
• scientific article; zbMATH DE number 3960816 (Why is no real title available?)
• On parameter estimation of threshold autoregressive models
• A simple nonparametric method to estimate the expected time to cross a threshold
• Likelihood estimation and inference in threshold regression

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