A multiple-threshold AR(1) model
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Publication:3702332
DOI10.2307/3213771zbMath0579.62074OpenAlexW2149586450MaRDI QIDQ3702332
Howell Tong, Joseph D. Petruccelli, Kung-Sik Chan, S. W. Woolford
Publication date: 1985
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3213771
asymptotic normalityergodicityMarkov chaincentral limit theoremstrong consistencySETAR modelsleast squares estimatorsinvariant distributionabsolute momentnon-linear time seriesmultiple-threshold AR(1) model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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