Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study

DOI10.15446/rce.v45n1.92965OpenAlexW4313157892MaRDI QIDQ5877575

Sergio Calderon, Daniel Ordoñez Callamad

Publication date: 14 February 2023

Published in: Revista Colombiana de Estadística (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15446/rce.v45n1.92965

zbMATH Keywords

nonlinear time seriesadditive outliersgeneralized method (GM) estimatoropen-loop TAR models

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• robustbase

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian analysis of multivariate threshold autoregressive models with missing data
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Least Median of Squares Regression
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• Testing linearity against smooth transition autoregressive models
• Robust Estimation of the First-Order Autoregressive Parameter
• Testing and Modeling Multivariate Threshold Models
• Robust Statistics
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Testing and Modeling Threshold Autoregressive Processes
• A Note on Tests for Threshold-Type Non-Linearity in Open Loop Systems
• Nonlinear Time Series Analysis
• Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
• TAR Modeling with Missing Data when the White Noise Process Follows a Student’s t-Distribution
• Bayesian Analysis of Multiplicative Seasonal Threshold Autoregressive Processes
• Outlier Detection And Estimation In NonLinear Time Series

This page was built for publication: Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study