Continuous-time threshold AR(1) processes

DOI10.2307/1428178zbMath0857.60078OpenAlexW2328370552MaRDI QIDQ4715303

Richard L. Tweedie, Osnat Stramer, Peter J. Brockwell

Publication date: 24 February 1997

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1428178

zbMATH Keywords

stochastic differential equationrecurrencestationary distributionnonlinear time seriesexponential ergodicityGaussian likelihoodcontinuous-time autoregressionapproximation of diffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Transition functions, generators and resolvents (60J35)

Related Items (5)

On parameter estimation of threshold autoregressive models ⋮ ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES ⋮ The local linearization scheme for nonlinear diffusion models with discontinuous coefficients ⋮ Diffusion Models for Double-ended Queues with Renewal Arrival Processes ⋮ Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

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