On the stationary marginal distributions of subclasses of multivariate setar processes of order one

DOI10.1111/JTSA.12514MaRDI QIDQ5111853zbMATHOpenAlexWikidataFDO

Authors Soumya Das, Marc G. Genton

Publication date 27 May 2020

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

Full work available at URL http://hdl.handle.net/10754/660926

zbMATH Keywords

nonlinear time seriesnonlinear autoregressive modelmultivariate skew-normal distributionstationary marginal distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10)

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Cited in

(3)

• A note on stationarity of the MTAR process on the boundary of the stationarity region
• The marginal distribution function of threshold-type processes with central symmetric innovations
• Information quantity evaluation of multivariate SETAR processes of order one and applications

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