Quasi-likelihood estimation of structure-changed threshold double autoregressive models

DOI10.1016/j.jspi.2019.06.008zbMath1437.62331OpenAlexW2953529477MaRDI QIDQ2301052

Shiqing Ling, Feifei Guo

Publication date: 28 February 2020

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2019.06.008

zbMATH Keywords

TARcompound Poisson processchange-pointquasi-maximum likelihood estimator (QMLE)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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