ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

DOI10.1111/j.1467-9892.1986.tb00501.xzbMath0596.62085MaRDI QIDQ3729867

Kung-Sik Chan, Howell Tong

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00501.x

zbMATH Keywords

consistency; normality; smoothness; change point; threshold autoregressive model; threshold parameter; non-linear time series; conditional least-squares estimate

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

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