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

DOI10.4310/SII.2011.V4.N2.A13OpenAlexW2064517578MaRDI QIDQ647178FDOQ647178

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

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

Cited In (10)

• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Generalized threshold latent variable model
• Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
• 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
• The marginal density of a TMA(1) process
• Identification of threshold autoregressive moving average models
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models

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