Testing and Modeling Threshold Autoregressive Processes
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- On some models for value-at-risk
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- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
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- Identification of threshold autoregressive moving average models
- Threshold quantile autoregressive models
- Least squares estimation of large dimensional threshold factor models
- Multivariate Hysteretic Autoregressive Models
- Detection of jump location curve in spatial linear regression model with two-dimensional threshold
- Theory and applications of TAR model with two threshold variables
- Predictive density criterion for SETAR models
- Simulation and application of subsampling for threshold autoregressive moving-average models
- Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
- Nonlinearity testing and modeling for threshold moving average models
- Bootstrap order selection for SETAR models
- Threshold autoregressive models for directional time series
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- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- Threshold variable selection using nonparametric methods
- Nonlinear modelling of periodic threshold autoregressions using Tsmars
- Bispectral-based goodness-of-fit tests of Gaussianity and linearity of stationary time series
- Testing for structural change of AR model to threshold AR model
- Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
- Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study
- A nonlinear autoregressive conditional duration model with applications to financial transaction data
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
- Instability in regime switching models
- Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
- Shrinkage estimation of multiple threshold factor models
- Linear approximation of the threshold autoregressive model: an application to order estimation
- On a periodic negative binomial SETINAR model
- Stationarity and ergodic properties for some observation-driven models in random environments
- Threshold models in time series analysis -- 30 years on
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