The moments of SETARMA models

DOI10.1016/J.SPL.2005.09.016MaRDI QIDQ2489874zbMATH OpenOpenAlexFDO

Authors Alessandra Amendola, Marcella Niglio, Cosimo Damiano Vitale

Publication date 28 April 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.09.016

zbMATH Keywords

MomentsModel selectionKurtosisSkewnessSETARMA model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Statistical Properties of Threshold Models
• The autocorrelation function in SETARMA models
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• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
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Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• A threshold AR(1) model
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On strict stationarity and ergodicity of a non-linear ARMA model
• Threshold models in non-linear time series analysis

Cited in

(6)

• Bayesian subset selection for threshold autoregressive moving-average models
• On the stationary marginal distributions of subclasses of multivariate setar processes of order one
• An alternative sequential method for the state estimation of a partially observed SETAR(1) process
• Multi-step forecasts from threshold ARMA models using asymmetric loss functions
• The autocorrelation function in SETARMA models
• Statistical Properties of Threshold Models

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