On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
From MaRDI portal
Publication:6190782
DOI10.1080/07350015.2023.2174124MaRDI QIDQ6190782
Dong Li, Xinyu Zhang, Howell Tong
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
compound Poisson processTAR modeldegeneracy of a spatial processmultiple threshold variablesweighted Nadaraya-Watson method
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A review of threshold time series models in finance
- On the least squares estimation of multiple-regime threshold autoregressive models
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- The model selection criterion AICu.
- Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
- A continuous mapping theorem for the smallest argmax functional
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Tests of independence and randomness based on the empirical copula process
- Cross‐validation Criteria for Setar Model Selection
- Nested sub-sample search algorithm for estimation of threshold models
- A generalized threshold mixed model for analyzing nonnormal nonlinear time series, with application to plague in Kazakhstan
- Markov Chains and Stochastic Stability
- On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
- A note on the geometric ergodicity of a Markov chain
- A note on the corrected Akaike information criterion for threshold autoregressive models
- Local Linear Quantile Regression
- Sample Splitting and Threshold Estimation
- Methods for Estimating a Conditional Distribution Function
- REGRESSION QUANTILES FOR TIME SERIES
- Financial Modelling with Jump Processes
- Theory and Applications of TAR Model with Two Threshold Variables
- GARCH Models
- Extremes of autoregressive threshold processes
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- Convergence of stochastic processes
This page was built for publication: On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models