Multivariate Hysteretic Autoregressive Models

DOI10.5705/SS.202020.0411MaRDI QIDQ5072148zbMATH OpenOpenAlexFDO

Authors Ruey S. Tsay

Publication date 25 April 2022

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202020.0411

zbMATH Keywords

hysteresisMarkov chainleast squares estimationnonlinear modelthreshold variable

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Hysteretic autoregressive time series models
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Markov chains and stochastic stability
• Multivariate time series analysis. With R and financial applications
• Nested sub-sample search algorithm for estimation of threshold models
• Nonlinear Time Series Analysis
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Threshold variable determination and threshold variable driven switching autoregressive mod\-els
• Threshold variable selection using nonparametric methods

Cited in

(3)

• Multivariate modelling of the autoregressive random variance process
• On hysteretic vector autoregressive model with applications
• Self-excited hysteretic negative binomial autoregression

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