The marginal density of a TMA(1) process

DOI10.1111/JTSA.12501MaRDI QIDQ5111858zbMATH OpenOpenAlexWikidataFDO

Authors Dong Li, Jiaming Qiu

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.12501

zbMATH Keywords

integral equationmarginal densitynonlinear stationary stochastic processtest maturity assessment (TMA)

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
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• Stability and the Lyapounov exponent of threshold AR-ARCH models
• Testing a linear time series model against its threshold extension
• Testing for a linear MA model against threshold MA models
• Testing for threshold moving average with conditional heteroscedasticity
• Threshold models in time series analysis -- 30 years on
• Threshold models in time series analysis -- some reflections

Cited in

(4)

• The marginal distribution function of threshold-type processes with central symmetric innovations
• On joint probability density functions of discrete time iterative processes.
• On an absolute autoregressive model and skew symmetric distributions
• Information quantity evaluation of nonlinear time series processes and applications

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