On the least squares estimation of threshold autoregressive and moving-average models

DOI10.4310/SII.2011.V4.N2.A13MaRDI QIDQ647178zbMATH OpenOpenAlexFDO

Authors Dong Li, Wai Keung Li, Shiqing Ling

Publication date 1 December 2011

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/sii.2011.v4.n2.a13

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(16)

• Generalized threshold latent variable model
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Threshold structures in economic and financial time series
• Identification of threshold autoregressive moving average models
• Simulation and application of subsampling for threshold autoregressive moving-average models
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• The marginal density of a TMA(1) process
• Testing for Threshold Effects in the TARMA Framework
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
• Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
• A score-based threshold effect test in time series models
• A novel double-banded-threshold mixture autoregressive model
• Robust Estimation for Threshold Autoregressive Moving-Average Models
• On buffered moving average models
• Another approach for the asymptotic properties of threshold vector ARMA models
• Generalized multivariate threshold autoregressive models with linearly partitioned threshold space

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