On parameter estimation of threshold autoregressive models
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Publication:411543
DOI10.1007/s11203-011-9064-0zbMath1236.62099arXiv1003.3800MaRDI QIDQ411543
Yury A. Kutoyants, Ngai Hang Chan
Publication date: 4 April 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.3800
compound Poisson process; limit distribution; Bayesian estimator; continuous-time diffusion; limit likelihood ratio; nonlinear threshold models
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F15: Bayesian inference
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