scientific article; zbMATH DE number 775745
From MaRDI portal
Publication:4839940
zbMath0824.62082MaRDI QIDQ4839940
Gary K. Grunwald, Rob Hyndman, Peter J. Brockwell
Publication date: 12 November 1995
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
predictiontime seriesnonlinear modelsstationary distributioninferenceGaussian likelihoodcontinuous-time threshold AR(1) processdiscrete-time threshold modelsthreshold AR(p) process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (7)
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations ⋮ On the approximation of continuous time threshold ARMA processes ⋮ A self-exciting threshold jump-diffusion model for option valuation ⋮ Quasi-likelihood estimation of a threshold diffusion process ⋮ Option Pricing with Threshold Diffusion Processes ⋮ Estimation of stable CARMA models with an application to electricity spot prices ⋮ Diffusion Models for Double-ended Queues with Renewal Arrival Processes
This page was built for publication:
