Strong consistency of conditional least squares estimators in multiple regime threshold autoregressive models

DOI10.1007/BF03178942zbMath1454.62272MaRDI QIDQ5123765

Gabriella Schoier

Publication date: 29 September 2020

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

strong consistencythreshold autoregressive modelsmartingale difference sequencemartingale transform

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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