On threshold moving-average models

DOI10.1111/1467-9892.00074MaRDI QIDQ3838318zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer

Publication date 9 December 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00074

zbMATH Keywords

asymmetric moving averageconditional least squares estimationLagrange multiplier testMonte Carlononlinearity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 3899997
• scientific article; zbMATH DE number 1374544
• Asymptotic theory on the least squares estimation of threshold moving-average models
• Identification of threshold autoregressive moving average models
• Bayesian inference for threshold moving average models
• Bayesian analysis of threshold autoregressive moving average models
• Ergodicity and invertibility of threshold moving-average models
• Nonlinearity testing and modeling for threshold moving average models

Cited in

(26)

• Bayesian inference for threshold moving average models
• The moments of SETARMA models
• Bayesian subset selection for threshold autoregressive moving-average models
• Information quantity evaluation of nonlinear time series processes and applications
• Asymptotic theory on the least squares estimation of threshold moving-average models
• First order threshold integer-valued moving average processes
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• Statistical Properties of Threshold Models
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Invertibility of non-linear time series models
• scientific article; zbMATH DE number 1051047 (Why is no real title available?)
• Identification of threshold autoregressive moving average models
• Simulation-based estimation of threshold moving average models with contemporaneous shock asymmetry and an application to Turkish business cycles
• The marginal distribution function of threshold-type processes with central symmetric innovations
• Simulation and application of subsampling for threshold autoregressive moving-average models
• The marginal density of a TMA(1) process
• A multivariate descriptor method for change-point detection in nonlinear time series
• Nonlinearity testing and modeling for threshold moving average models
• scientific article; zbMATH DE number 223230 (Why is no real title available?)
• The autocorrelation function in SETARMA models
• A note on moving-average models with feedback
• On Thresholds of Moving Averages with Given On-Target Significant Levels
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Multi-step forecasts from threshold ARMA models using asymmetric loss functions
• Testing for a linear MA model against threshold MA models
• Thresholds of moving averages of stationary processes for given target significant levels

This page was built for publication: On threshold moving-average models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3838318)