An empirical study on the parsimony and descriptive power of TARMA models

DOI10.1007/S10260-020-00516-8MaRDI QIDQ2664997zbMATH OpenOpenAlexFDO

Authors Greta Goracci

Publication date 18 November 2021

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-020-00516-8

zbMATH Keywords

nonlinear time seriessunspot number time seriesthreshold autoregressive moving-average modelsUS unemployment rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to physics (62P35) Radiative transfer in astronomy and astrophysics (85A25)

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Cites work

• Closure of linear processes
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Ergodicity and invertibility of threshold moving-average models
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 147184 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Information criteria for nonlinear time series models
• Markov chains and stochastic stability
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• On model selection from a finite family of possibly misspecified time series models
• On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Selecting nonlinear time series models using information criteria
• Sieve bootstrap for time series
• Testing for threshold autoregression
• Threshold Autoregression with a Unit Root
• Threshold models in time series analysis -- 30 years on

Cited in

(8)

• scientific article; zbMATH DE number 3899997 (Why is no real title available?)
• Testing for Threshold Effects in the TARMA Framework
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• The validity of bootstrap testing for threshold autoregression
• Testing for threshold regulation in presence of measurement error
• A score-based threshold effect test in time series models
• Robust Estimation for Threshold Autoregressive Moving-Average Models
• Generalized multivariate threshold autoregressive models with linearly partitioned threshold space

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