Multivariate Hysteretic Autoregressive Models

DOI10.5705/SS.202020.0411OpenAlexW3112463525MaRDI QIDQ5072148FDOQ5072148

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

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zbMATH Keywords

hysteresisMarkov chainleast squares estimationnonlinear modelthreshold variable

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Multivariate time series analysis. With R and financial applications
• Title not available (Why is that?)
• Markov chains and stochastic stability
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Testing and Modeling Multivariate Threshold Models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Testing and Modeling Threshold Autoregressive Processes
• Threshold variable selection using nonparametric methods
• Nonlinear Time Series Analysis
• Threshold variable determination and threshold variable driven switching autoregressive mod\-els
• Nested sub-sample search algorithm for estimation of threshold models
• Hysteretic autoregressive time series models

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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