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)

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
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

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