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

DOI10.1111/J.1467-842X.1992.TB01047.XMaRDI QIDQ4014606zbMATH OpenOpenAlexFDO

Authors

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)

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Cited in

(6)

• Robust tests for time series with an application to first-order autoregressive processes
• scientific article; zbMATH DE number 7708021 (Why is no real title available?)
• On the Bickel-Rosenblatt test for first-order autoregressive models
• On robust estimation in the first order autoregressive processes
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation

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