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

DOI10.1016/J.JMVA.2004.02.006MaRDI QIDQ1877005zbMATH OpenOpenAlexFDO

Authors Lihong Wang, Jinde 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

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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• A threshold AR(1) model
• Asymptotic normality of \(L_ 1\)-estimators in nonlinear regression
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• 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
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Threshold models in non-linear time series analysis

Cited in

(8)

• Limiting behavior of least absolute deviation (LAD) estimators for PARMA models
• A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
• Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
• Penalized least absolute deviations estimation for nonlinear model with change-points
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Asymptotic theory on the least squares estimation of threshold moving-average models

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