A threshold AR(1) model
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Publication:3327559
DOI10.2307/3213639zbMath0541.62073MaRDI QIDQ3327559
S. W. Woolford, Joseph D. Petruccelli
Publication date: 1984
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4fbd95f1aa8652daac8320324fe108004ef5ecf4
Markov chains; stationary distribution; autoregressive models; TAR models; ergodic process; least squares estimators; non-linear time series; small-sample results
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J05: Discrete-time Markov processes on general state spaces
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