On the least squares estimation of threshold autoregressive and moving-average models
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Publication:647178
DOI10.4310/SII.2011.V4.N2.A13OpenAlexW2064517578MaRDI QIDQ647178
Wai Keung Li, Shiqing Ling, Dong Li
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
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
Related Items (9)
Threshold Structures in Economic and Financial Time Series ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Testing for Threshold Effects in the TARMA Framework ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ The Marginal Density of a TMA(1) Process ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Generalized threshold latent variable model ⋮ Identification of Threshold Autoregressive Moving Average Models
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