ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL

DOI10.1111/J.1467-9892.1986.TB00494.XzbMATH Open0601.62110OpenAlexW2091387905MaRDI QIDQ3736760FDOQ3736760

Joseph D. Petruccelli

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.tb00494.x

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zbMATH Keywords

ergodicityconsistencynonlinear time seriesSETAROrdinary least squares estimatorsself exciting threshold autoregressive models

Mathematics Subject Classification ID

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

Cites Work

• On asymptotic distribution theory in segmented regression problems - identified case
• A multiple-threshold AR(1) model
• A threshold AR(1) model
• Threshold models in non-linear time series analysis
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

Cited In (18)

• Times series models with thresholds
• Title not available (Why is that?)
• Strong convergence of estimators in nonlinear autoregressive models
• Title not available (Why is that?)
• Some convergence properties for arrays of rowwise asymptotically almost negatively associated random variables under sub-linear expectations
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Asymptotic theory on the least squares estimation of threshold moving-average models
• On the least squares estimation of multiple-regime threshold autoregressive models
• Weak convergence for weighted sums of a class of random variables with related statistical applications
• Threshold autoregressive models for interval-valued time series data
• The convergence properties for randomly weighted sums of widely negative dependent random variables under sub-linear expectations with related statistical applications
• The limiting behavior of least absolute deviation estimators for threshold autoregressive models
• On maximum likelihood estimators for a threshold autoregression
• Title not available (Why is that?)
• Generating prediction bands for path forecasts from SETAR models
• A threshold AR(1) model
• On a continuous time stock price model with regime switching, delay, and threshold
• Complete \(f\)-moment convergence for maximal randomly weighted sums of arrays of rowwise widely orthant dependent random variables and its statistical applications

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