scientific article; zbMATH DE number 932632

MaRDI QIDQ4894941zbMATH OpenFDO

Authors O. Stramer, R. L. Tweedie, Peter J. Brockwell

Publication date 22 February 1999

zbMATH Keywords

nonlinear time seriesrecurrencetransienceexponential ergodicitystationary distributionsirreducible Markov processesstability of weak solutionscontinuous-time SETARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(11)

• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
• ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES
• Quasi-likelihood estimation of a threshold diffusion process
• Approximations and boundary conditions for continuous-time threshold autoregressive processes
• On the approximation of continuous time threshold ARMA processes
• On continuous-time threshold ARMA processes
• Stability of cyclic threshold and threshold-like autoregressive time series models
• The ARMA alphabet soup: a tour of ARMA model variants
• The local linearization scheme for nonlinear diffusion models with discontinuous coefficients
• Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets

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