scientific article; zbMATH DE number 932632
zbMATH Open0906.62094MaRDI QIDQ4894941FDOQ4894941
Authors: O. Stramer, R. L. Tweedie, Peter J. Brockwell
Publication date: 22 February 1999
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nonlinear time seriesrecurrencetransienceexponential ergodicitystationary distributionsirreducible Markov processesstability of weak solutionscontinuous-time SETARMA models
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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- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES
- On the approximation of continuous time threshold ARMA processes
- On continuous-time threshold ARMA processes
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- Quasi-likelihood estimation of a threshold diffusion process
- Approximations and boundary conditions for continuous-time threshold autoregressive processes
- Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets
- 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
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