Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models

DOI10.1111/JTSA.12492zbMATH Open1442.62107OpenAlexW2958558794WikidataQ127527943 ScholiaQ127527943MaRDI QIDQ5111785FDOQ5111785

Authors: Yaxing Yang, Dong Li 

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12492

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zbMATH Keywords

asymptotic normalitystrong consistencythreshold autoregressive modelself-weighted LADE

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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Cited In (2)

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• Estimation of generalized threshold autoregressive models

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