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)

• 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
• Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models
• Chaotic dynamics of a piecewise linear model of credit cycles
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Parameter uncertainty and impulse response analysis
• Nonparametric time series regression
• A Bayesian analysis of some threshold switching models
• The effects of temporal aggregation on tests of linearity of a time series.
• Some problems of second method of Lyapunov in discrete systems
• Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
• Estimation of nonlinear autoregressive models using design-adapted wavelets
• On nonlinear models for time series
• Modeling nonlinear time series with local mixtures of generalized linear models
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• 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

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