Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model
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Publication:5418891
DOI10.1080/03610918.2012.740123zbMath1333.62204MaRDI QIDQ5418891
Publication date: 30 May 2014
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2012.740123
adaptive estimation; periodically correlated process; threshold autoregressive model; local asymptotic normality property; periodic self-exciting
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P12: Applications of statistics to environmental and related topics
Related Items
Efficient estimation in (PINAR(1)) model: semiparametric case, Efficient estimation in periodic INAR(1) model: parametric case, Efficient estimation in semiparametric self-exciting threshold INAR processes
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