scientific article; zbMATH DE number 932632

zbMATH Open0906.62094MaRDI QIDQ4894941FDOQ4894941

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

Publication date: 22 February 1999

Title of this publication is not available (Why is that?)

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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)

Cited In (11)

• 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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