On nonlinear TAR processes and threshold estimation

DOI10.3103/S1066530712020056zbMATH Open1325.62102arXiv1110.0932OpenAlexW2050667119MaRDI QIDQ893070FDOQ893070

Authors: N. E. Zubov 

Publication date: 13 November 2015

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Abstract: We consider the problem of threshold estimation for autoregressive time series with a "space switching" in the situation, when the regression is nonlinear and the innovations have a smooth, possibly non Gaussian, probability density. Assuming that the unknown threshold parameter is sampled from a continuous positive density, we find the asymptotic distribution of the Bayes estimator. As usually in the singular estimation problems, the sequence of Bayes estimators is found to be asymptotically efficient, attaining the minimax risk lower bound.

Full work available at URL: https://arxiv.org/abs/1110.0932

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zbMATH Keywords

limit distributionlikelihood inferenceBayes estimatorcompound Poisson processnonlinear threshold modelssingular estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30)

Cites Work

• Markov Chains and Stochastic Stability
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Threshold models in time series analysis -- 30 years on
• On parameter estimation of threshold autoregressive models
• On identification of the threshold diffusion processes
• On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios

Cited In (6)

• Translation invariant statistical experiments with independent increments
• Likelihood estimation and inference in threshold regression
• Title not available (Why is that?)
• A simple nonparametric method to estimate the expected time to cross a threshold
• Estimation in threshold autoregressive models with correlated innovations
• On parameter estimation of threshold autoregressive models

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