Quantile self-exciting threshold autoregressive time series models

DOI10.1111/j.1467-9892.2007.00551.xzbMath1165.62062WikidataQ61719211 ScholiaQ61719211MaRDI QIDQ3608193

Julian Stander, Yuzhi Cai

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00551.x

zbMATH Keywords

simulation; non-stationary time series; Bayesian methods; quantile self-exciting threshold autoregressive time series

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F15: Bayesian inference

Related Items

Threshold quantile autoregressive models, A new Bayesian approach to quantile autoregressive time series model estimation and forecasting, Polynomial power-Pareto quantile function models, Testing linearity against threshold effects: uniform inference in quantile regression, Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity

Cites Work

• Unnamed Item
• On the ergodicity of \(TAR(1)\) processes
• A threshold AR(1) model
• Regression Quantiles
• Regression models for data with a non-zero probability of a zero response
• Unit Root Quantile Autoregression Inference
• Quantile Autoregression
• Bayesian quantile regression