Threshold models in non-linear time series analysis

zbMATH Open0527.62083MaRDI QIDQ595307FDOQ595307

Publication date: 1983

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

limit cycles nonlinear time series analysis threshold models ecology nonlinear filter nonlinear oscillations sunspot numbers AIC criterion autoregressions local linearisation of inverse function modelling of time series riverflow 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)

The least-squares criteria of the random coefficient dynamic regression model
Efficient estimation in smooth threshold autoregressive(1) models
Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises
Parameter estimation for a class of radial basis function-based nonlinear time-series models with moving average noises
Asymptotic scaling laws for precision of parameter estimates in dynamical systems
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
Bayesian estimation for threshold autoregressive model with multiple structural breaks
Sequential point estimation of parameters in a threshold AR(1) model
Nonlinear autoregressive models with optimality properties
Bayesian analysis of threshold autoregressions
Self-exciting threshold binomial autoregressive processes
A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES
Optimal estimates for the operating parameters of an information web portal
Modified unit root tests and momentum threshold autoregressive processes.
Statistical estimation of the oscillating Brownian motion
On the approximation of continuous time threshold ARMA processes
Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
A variable addition test for exogeneity in structural threshold models
Improved method of sea level forecasting at Venice (Northern Adriatic sea)
Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
Extreme at-the-money skew in a local volatility model
Financial integration in emerging economies: an application of threshold cointegration
Self-exciting threshold models for time series of counts with a finite range
Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
A new nonlinearity test to circumvent the limitation of Volterra expansion with application
Cost-sensitive estimation of ARMA models for financial asset return data
Testing for cointegration with threshold adjustment in the presence of structural breaks
Discussion of `An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models' by Battaglia and Protopapas
Frequentist model averaging for threshold models
An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
Spline estimation of functional coefficient regression models for time series with correlated errors
Mixed Portmanteau Tests for Time‐Series Models
Two-step estimation of time-varying additive model for locally stationary time series
Hysteretic Poisson INGARCH model for integer-valued time series
On double hysteretic heteroskedastic model
Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
Semi-parametric expected shortfall forecasting in financial markets
SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
Simulation analysis of threshold autoregressive unit root tests
DNA optimization threshold autoregressive prediction model and its application in ice condition time series
ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Autoregressive processes with data-driven regime switching
Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
Bayesian analysis of multiple thresholds autoregressive model
Identification of the dynamic parametrical model with an iterative orthogonal forward regression algorithm
Deviation inequalities and moderate deviations for estimators of parameters in TAR models
Hidden Markov models with threshold effects and their applications to oil price forecasting
A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
Weighted-averaging estimator for possible threshold in segmented linear regression model
Testing for neglected nonlinearity in regression models based on the theory of random fields
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
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
Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
Threshold quantile autoregressive models
A threshold cointegration test with increased power
Testing time series linearity via goodness-of-fit methods
Large sample inference for conditional exponential families with applications to nonlinear time series
Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
State-dependent effects of fiscal policy
A note on the consistency of a robust estimator for threshold autoregressive processes
A bivariate threshold time series model for analyzing Australian interest rates
Numerical issues in threshold autoregressive modeling of time series
Estimating a Banking-Macro Model Using a Multi-regime VAR
Modeling nonlinearities with mixtures-of-experts of time series models
Markov-switching quantile autoregression: a Gibbs sampling approach
On a Markov chain approximation method for option pricing with regime switching
Chaotic dynamics of a piecewise linear model of credit cycles
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Performance fees and hedge fund return dynamics
A weak convergence result for sequential empirical processes under weak dependence
Corrected confidence intervals for parameters in adaptive linear models
The real consequences of financial stress
A consistent nonparametric test for linearity of \(\text{AR} (p)\) models
A Bayesian analysis of generalized threshold autoregressive models
A practical method for outlier detection in autoregressive time series modelling

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