On parameter estimation of threshold autoregressive models

DOI10.1007/S11203-011-9064-0zbMATH Open1236.62099arXiv1003.3800OpenAlexW2014601225MaRDI QIDQ411543FDOQ411543

Authors: Ngai Hang Chan, Yu. A. Kutoyants 

Publication date: 4 April 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and its limit distribution is expressed in terms of a limit likelihood ratio. Furthermore, convergence of moments of the estimators is also established. The limit distribution can be computed via explicit simulations from which testing and inference for the threshold parameter can be conducted. The obtained results are illustrated with numerical simulations.

Full work available at URL: https://arxiv.org/abs/1003.3800

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zbMATH Keywords

limit distributioncompound Poisson processBayesian estimatorcontinuous-time diffusionlimit likelihood rationonlinear threshold models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited In (26)

• Asymptotic normality of coefficient estimates for a multidimensional threshold autoregression model
• Title not available (Why is that?)
• Empirical Likelihood for Threshold Autoregressive Models
• Title not available (Why is that?)
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Estimation of generalized threshold autoregressive models
• Threshold quantile autoregressive models
• The effects of small sample bias in threshold autoregressive models
• Title not available (Why is that?)
• Asymptotic theory on the least squares estimation of threshold moving-average models
• Title not available (Why is that?)
• On the least squares estimation of multiple-regime threshold autoregressive models
• Numerical issues in threshold autoregressive modeling of time series
• LASSO estimation of threshold autoregressive models
• Estimation and model selection based inference in single and multiple threshold models.
• On nonlinear TAR processes and threshold estimation
• Regularized Bayesian estimation of generalized threshold regression models
• Likelihood estimation and inference in threshold regression
• Optimal change-point estimation in time series
• ROBUST ESTIMATION AND HYPOTHESIS TESTS FOR FIRST-ORDER THRESHOLD AUTOREGRESSIVE MODELS
• Statistical Inference for Structurally Changed Threshold Autoregressive Models
• Using threshold autoregressive models to study dyadic interactions
• Estimation in threshold autoregressive models with correlated innovations
• Fixed accuracy estimation of parameters in a threshold autoregressive model
• Inference in TAR Models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

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