Estimation of a multiple-threshold \(AR(p)\) model

DOI10.1016/j.stamet.2007.08.004zbMath1248.62150MaRDI QIDQ713826

Ouagnina Hili

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2007.08.004

zbMATH Keywords

consistency; asymptotic normality; stationarity; minimum Hellinger distance estimation; self-exciting threshold autoregressive model

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Cites Work

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