Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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Publication:2366755
DOI10.1214/aos/1176349040zbMath0786.62089OpenAlexW2078432169MaRDI QIDQ2366755
Publication date: 25 April 1994
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349040
ergodicitystationary distributionglobal minimumlimiting distributionPoisson processnonlinear time seriesstrong consistencyconditional least squares estimatorfinite second momentsSETARself exciting threshold autoregressive model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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