ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

DOI10.1111/j.1467-9892.1986.tb00501.xzbMath0596.62085OpenAlexW2018389776MaRDI 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

consistencynormalitysmoothnesschange pointthreshold autoregressive modelthreshold parameternon-linear time seriesconditional least-squares estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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