ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-842X.1992.TB01047.XzbMATH Open0753.62020OpenAlexW1998145691MaRDI QIDQ4014606FDOQ4014606

Author name not available (Why is that?)

Publication date: 12 October 1992

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1992.tb01047.x

zbMATH Keywords

asymptotic normalityM-estimationrobust estimationnonlinear modelsWald statisticsthreshold parameterslimiting distributionsscore test statisticsfirst-order threshold autoregressive modelTAR (1) model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (3)

• On the Bickel-Rosenblatt test for first-order autoregressive models
• Title not available (Why is that?)
• On robust estimation in the first order autoregressive processes

   Recommendations

• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation 👍 👎
• A note on the consistency of a robust estimator for threshold autoregressive processes 👍 👎
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS 👍 👎
• Testing for threshold autoregression 👍 👎
• On parameter estimation of threshold autoregressive models 👍 👎

This page was built for publication: ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4014606)