The moments of SETARMA models

DOI10.1016/J.SPL.2005.09.016zbMATH Open1086.62091OpenAlexW1971629034MaRDI QIDQ2489874FDOQ2489874

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

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• Statistical Properties of Threshold Models
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• Model selection in threshold models

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A threshold AR(1) model
• Threshold models in non-linear time series analysis
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On strict stationarity and ergodicity of a non-linear ARMA model

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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