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

DOI10.1016/J.CSDA.2014.08.003MaRDI QIDQ1623740zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4082773 (Why is no real title available?)
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• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• scientific article; zbMATH DE number 927302 (Why is no real title available?)
• A generalized threshold mixed model for analyzing nonnormal nonlinear time series, with application to plague in Kazakhstan
• An extended quasi-likelihood function
• Asymptotic Statistics
• Asymptotic theory on the least squares estimation of threshold moving-average models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Estimation and Testing Stationarity for Double-Autoregressive Models
• Generalized autoregressive conditional heteroscedasticity
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Maximum likelihood estimation of a generalized threshold stochastic regression model
• Quasi-likelihood functions
• Sample Splitting and Threshold Estimation
• Self-excited threshold Poisson autoregression
• Stationarity of generalized autoregressive moving average models

Cited in

(1)

• Flexible Tweedie regression models for continuous data

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