Threshold models in non-linear time series analysis

zbMATH Open0527.62083MaRDI QIDQ595307FDOQ595307

Howell Tong

Publication date: 1983

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

zbMATH Keywords

limit cyclesnonlinear time series analysisthreshold modelsecologynonlinear filternonlinear oscillationssunspot numbersAIC criterionautoregressionslocal linearisation of inverse functionmodelling of time seriesriverflow data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (only showing first 100 items - show all)

• Spatio-temporal change-point modeling
• Threshold models in time series analysis -- some reflections
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Accounting seasonal nonstationarity in time series models for short-term ozone level forecast
• Qualitative threshold ARCH models
• NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION
• Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
• A regime switching model for temperature modeling and applications to weather derivatives pricing
• The moments of SETARMA models
• The stationarity and invertibility of a class of nonlinear ARMA models
• Functional-coefficient partially linear regression model
• A Review of Nonparametric Time Series Analysis
• Pricing Annuity Guarantees Under a Regime-Switching Model
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• A hidden Markov regime-switching smooth transition model
• Riesz estimators
• Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
• A smoothed least squares estimator for threshold regression models
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
• Local unit roots and global stationarity of TARMA models
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Problems in estimating dynamics from data
• On continuous-time threshold ARMA processes
• Testing linearity against threshold effects: uniform inference in quantile regression
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• Nonparametric vector autoregression
• Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
• Nonlinear prediction of chaotic time series
• SEMIPARAMETRIC TIME SERIES REGRESSION
• Distribution-free strong consistency for nonparametric kernel regression involving nonlinear time series
• THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹
• On geometric ergodicity of the MTAR process
• Prediction of software reliability using an auto regressive process
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing
• On forecasting SETAR processes
• A floor and ceiling model of US output
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Theory and Applications of TAR Model with Two Threshold Variables
• Estimation and model selection based inference in single and multiple threshold models.
• Identification of hybrid systems. A tutorial
• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• LM threshold unit root tests
• Wavelet estimation of functional coefficient regression models
• Kernel estimation for time series: an asymptotic theory
• The Lee-Carter Model for Forecasting Mortality, Revisited
• A self-exciting threshold jump-diffusion model for option valuation
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• On geometric ergodicity of CHARME models
• Asset allocation under threshold autoregressive models
• A nonlinear model for predicting interannual changes in Calanus finmarchicus abundance in the gulf of maine
• Non-linear system identification using neural networks
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• The limiting behavior of least absolute deviation estimators for threshold autoregressive models
• A hidden Markov regime-switching model for option valuation
• On a method of identification of best subset model from full ar-model
• Pricing European vanilla options under a jump-to-default threshold diffusion model
• Outlier analysis and mortality forecasting: The United Kingdom and Scandinavian countries
• A confidence interval test for the detection of structural breaks
• Adaptive estimation of the threshold point in threshold regression
• Nonlinear ARMA models with functional MA coefficients
• THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
• Regularized orthogonal least squares algorithm for constructing radial basis function networks
• On maximum likelihood estimators for a threshold autoregression
• Multivariate contemporaneous-threshold autoregressive models
• The MIN PFS problem and piecewise linear model estimation
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Estimation in nonlinear time series models
• Instability in regime switching models
• Estimation in threshold autoregressive models with correlated innovations
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Statistical Properties of Threshold Models
• Commercial and residential mortgage defaults: spatial dependence with frailty
• Time series prediction based on data compression methods
• Modelling long-term investment returns via Bayesian infinite mixture time series models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Improved autoregressive forecasts in the presence of non-normal errors
• Information criteria for nonlinear time series models
• Nonlinear modeling and prediction by successive approximation using radial basis functions
• Times series models with thresholds
• A multivariate threshold stochastic volatility model
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• Time-series forecasting using GA-tuned radial basis functions
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
• A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
• Modeling default data via an interactive hidden Markov model
• COMPARISON OF SOME NON-LINEAR AUTOREGRESSIVE PROCESSES
• Nonlinear stochastic inflation modelling using SEASETARs.
• Recent developments in time series forecasting
• Order selection in nonlinear time series models with application to the study of cell memory
• Modelling and analysis of non-linear time series
• Large sample inference based on multiple observations from nonlinear autoregressive processes
• Parameter identification in noisy extended systems: a hydrodynamic case
• A local unit root test in mean for financial time series

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