Double generalized threshold models with constraint on the dispersion by the mean

DOI10.1016/J.CSDA.2014.08.003OpenAlexW1970890876MaRDI QIDQ1623740FDOQ1623740

Authors: Y. Aharonov 

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.08.003

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zbMATH Keywords

nonlinear time seriesFukushima nuclear disastergeneralized threshold model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Asymptotic Statistics
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• Stationarity of generalized autoregressive moving average models
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• Quasi-likelihood functions
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• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Sample Splitting and Threshold Estimation
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Asymptotic theory on the least squares estimation of threshold moving-average models
• Maximum likelihood estimation of a generalized threshold stochastic regression model
• A generalized threshold mixed model for analyzing nonnormal nonlinear time series, with application to plague in Kazakhstan

Cited In (1)

• Flexible Tweedie regression models for continuous data

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