Threshold models in time series analysis -- 30 years on

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (64)

Threshold effect in varying coefficient models with unknown heteroskedasticity
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
On the existence of stationary threshold bilinear processes
What does Google say about credit developments in Brazil?
Threshold Estimation via Group Orthogonal Greedy Algorithm
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
Guest Editors’ Introduction: Regime Switching and Threshold Models
Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
The validity of bootstrap testing for threshold autoregression
Statistical analysis of multi-day solar irradiance using a threshold time series model
Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
On the complementarity of ordinal patterns-based entropy and time asymmetry metrics
Threshold models in time series analysis -- some reflections
Nonlinear relationship between household composition and electricity consumption: optimal threshold models
First-order random coefficients integer-valued threshold autoregressive processes
Generalized threshold latent variable model
The Marginal Density of a TMA(1) Process
On moving-average models with feedback
A mixture autoregressive model based on Student’s t–distribution
A hidden Markov regime-switching smooth transition model
Self-exciting threshold binomial autoregressive processes
Approximate maximum likelihood estimation of a threshold diffusion process
Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models
Penalized estimation of threshold auto-regressive models with many components and thresholds
THE BOOTSTRAP IN THRESHOLD REGRESSION
Discrete Langevin-type equation for p-order persistent time series and procedure of its reconstruction
Simulation and application of subsampling for threshold autoregressive moving-average models
Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
Threshold Vector Arma Models
Testing for Threshold Effects in the TARMA Framework
Outliers and persistence in threshold autoregressive processes
Asymptotic theory on the least squares estimation of threshold moving-average models
On the least squares estimation of multiple-regime threshold autoregressive models
Self-exciting threshold models for time series of counts with a finite range
An empirical study on the parsimony and descriptive power of TARMA models
Title not available (Why is that?)
Wind energy: forecasting challenges for its operational management
On nonlinear TAR processes and threshold estimation
Regularized Bayesian estimation of generalized threshold regression models
What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
Discussion of `An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models' by Battaglia and Protopapas
A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization
NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS
A Gaussian Mixture Autoregressive Model for Univariate Time Series
Detecting conflicting summary statistics in likelihood-free inference
Forecasting in nonlinear univariate time series using penalized splines
Modeling and forecasting interval time series with threshold models
A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
Adaptive estimation of the threshold point in threshold regression
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
DNA optimization threshold autoregressive prediction model and its application in ice condition time series
Predictive Inference for Locally Stationary Time Series With an Application to Climate Data
Quasi-likelihood estimation of structure-changed threshold double autoregressive models
An integer-valued threshold autoregressive process based on negative binomial thinning
Estimation and inference of threshold regression models with measurement errors
Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
Autoregressive density modeling with the Gaussian process mixture transition distribution
On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One
Common threshold in quantile regressions with an application to pricing for reputation
Estimation in threshold autoregressive models with correlated innovations
The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
Fitting a two phase threshold multiplicative error model
Threshold regression with endogeneity
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA

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