Nested sub-sample search algorithm for estimation of threshold models

DOI10.5705/SS.2013.394TzbMATH Open1356.62147OpenAlexW2325370670MaRDI QIDQ2828613FDOQ2828613

Authors: Dong Li, Howell Tong 

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68880/

Recommendations

• Subsampling inference in threshold autoregressive models
• Dynamic nested sampling: an improved algorithm for parameter estimation and evidence calculation
• Nonreversible Jump Algorithms for Bayesian Nested Model Selection
• Nested coordinate descent algorithms for empirical likelihood
• A subsampling approach for Bayesian model selection
• Thresholding-based iterative selection procedures for model selection and shrinkage
• Estimation and model selection based inference in single and multiple threshold models.
• Model selection in threshold models

zbMATH Keywords

maximum likelihood estimationleast squares estimationthreshold modelnested sub-sample search algorithmstandard grid search algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (20)

• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
• Threshold negative binomial autoregressive model
• First-order random coefficients integer-valued threshold autoregressive processes
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• On a periodic SETINAR model
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• On a periodic negative binomial SETINAR model
• Information quantity evaluation of nonlinear time series processes and applications
• On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
• Multivariate Hysteretic Autoregressive Models
• Statistical inference for self-exciting threshold INAR processes with missing values
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Segment regression model average with multiple threshold variables and multiple structural breaks
• A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning

This page was built for publication: Nested sub-sample search algorithm for estimation of threshold models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2828613)