On the approximation of continuous time threshold ARMA processes

DOI10.1007/BF00773408zbMath0822.62070OpenAlexW2023290827MaRDI QIDQ1895432

Osnat Stramer, Peter J. Brockwell

Publication date: 18 October 1995

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00773408

zbMATH Keywords

weak solutionBrownian motionjoint distributionsnonlinear time seriesGaussian diffusionautoregressive moving average processesapproximation of diffusion processescontinuous-time ARMA processcontinuous-time threshold modelsthreshold ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (3)

Pendulum energy converter excited by random loads ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Structural Laplace Transform and Compound Autoregressive Models

Cites Work

• Threshold models in non-linear time series analysis
• An introduction to bispectral analysis and bilinear time series models
• Random coefficient autoregressive models: an introduction
• Time series: theory and methods.
• On continuous-time threshold ARMA processes
• A classification of the second order degenerate elliptic operators and its probabilistic characterization
• Testing and Modeling Threshold Autoregressive Processes
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