The limiting behavior of least absolute deviation estimators for threshold autoregressive models

DOI10.1016/J.JMVA.2004.02.006zbMATH Open1047.62082OpenAlexW1976861436MaRDI QIDQ1877005FDOQ1877005

Jinde Wang, Lihong Wang

Publication date: 16 August 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.02.006

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zbMATH Keywords

Asymptotic normalityStrong consistencyNonlinear time seriesLeast absolute deviation estimationThreshold autoregressive models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
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Cited In (4)

• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
• Penalized least absolute deviations estimation for nonlinear model with change-points
• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation

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