On continuous-time threshold ARMA processes

DOI10.1016/0378-3758(94)90210-0zbMATH Open0797.62072OpenAlexW2047021902WikidataQ127564798 ScholiaQ127564798MaRDI QIDQ1330197FDOQ1330197

Authors: Peter J. Brockwell 

Publication date: 8 September 1994

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90210-0

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zbMATH Keywords

characteristic functiontransition probabilitiesmaximum-likelihood estimationBrownian motionstate-space representationwhite noiserecursionsirregularly spaced dataCameron-Martin-Girsanov formulaCanadian Lynx Datacontinuous- time threshold ARMA \((p,q)\) processcontinuous-time threshold autoregressive processesCTARMA processesGaussian likelihoodslikelihood of observationslinear CARMA\((p,q)\) processesunderlying diffusion process

Mathematics Subject Classification ID

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

Cites Work

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• The Stability of Random Coefficient Autoregressive Models

Cited In (25)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Title not available (Why is that?)
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Approximate maximum likelihood estimation of a threshold diffusion process
• Subsampling Continuous Parameter Random Fields and a Bernstein Inequality
• ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES
• Simulation of elliptic and hypo-elliptic conditional diffusions
• On the approximation of continuous time threshold ARMA processes
• THE CARMA INTEREST RATE MODEL
• Testing for Threshold Diffusion
• Discrete and continuous time cointegration
• Quasi-likelihood estimation of a threshold diffusion process
• Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets
• Determining the number and values of thresholds for multi-regime threshold Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data
• The ARMA alphabet soup: a tour of ARMA model variants
• Structural Laplace Transform and Compound Autoregressive Models
• On parameter estimation of threshold autoregressive models
• Continuous-time threshold AR(1) processes
• Maximum likelihood estimation of diffusions by continuous time Markov chain
• Continuous-time ARMA processes
• Generalized Rybicki Press algorithm.
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients

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