Fixed accuracy estimation of parameters in a threshold autoregressive model

DOI10.1007/s10463-021-00812-4zbMath1497.62240OpenAlexW3206385081MaRDI QIDQ2086279

Sergey E. Vorobeychikov, Victor Konev

Publication date: 25 October 2022

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

Full work available at URL: https://doi.org/10.1007/s10463-021-00812-4

zbMATH Keywords

fixed-size confidence ellipsoidsequential estimatesTAR process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Sequential estimation (62L12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation in threshold autoregressive models with correlated innovations
• Geometric ergodicity for classes of homogeneous Markov chains
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• On the least squares estimation of multiple-regime threshold autoregressive models
• Fixed accuracy estimation of an autoregressive parameter
• Sequential point estimation of parameters in a threshold AR(1) model
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• A threshold AR(1) model
• Asymptotic Properties of Sequential Design for Estimating the Parameter of a First-Order Autoregression
• Editor's Special Invited Paper: Sequential Estimation for Time Series Models
• Estimation of Multiple-Regime Threshold Autoregressive Models With Structural Breaks