Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation

DOI10.1134/S0005117919040052MaRDI QIDQ2290398zbMATH OpenOpenAlexWikidataFDO

Authors V. B. Goryainov, E. R. Goryainova

Publication date 27 January 2020

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117919040052

zbMATH Keywords

asymptotic relative efficiencyleast squares estimateM-estimatethreshold autoregression modelTukey distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Exact distribution theory in statistics (62E15) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 3965271
• M-estimates of autoregression with random coefficients
• A note on the consistency of a robust estimator for threshold autoregressive processes
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

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Cited in

(4)

• M-estimates of autoregression with random coefficients
• ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS
• A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
• Estimation in nonlinear random fields models of autoregressive type with random parameters

Describes a project that uses

Uses Software

• robustbase

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