ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES

DOI10.1111/J.1467-9892.1996.TB00272.XMaRDI QIDQ4881707zbMATH OpenOpenAlexFDO

Authors O. Stramer

Publication date 6 November 1996

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00272.x

zbMATH Keywords

numerical examplesconditional momentsCameron-Martin-Girsanov formulaGaussian likelihoodcontinuous time threshold ARMA processdiscrete approximation of CTARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited in

(6)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• On the approximation of continuous time threshold ARMA processes
• Approximations and boundary conditions for continuous-time threshold autoregressive processes
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• Finite mixture approximation of CARMA(p,q) models
• Continuous-time threshold AR(1) processes

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