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
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
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
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
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.

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