On nonlinear TAR processes and threshold estimation

DOI10.3103/S1066530712020056zbMath1325.62102arXiv1110.0932OpenAlexW2050667119MaRDI QIDQ893070

N. E. Zubov

Publication date: 13 November 2015

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

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

zbMATH Keywords

Bayes estimatorcompound Poisson processlimit distributionlikelihood inferencenonlinear threshold modelssingular estimation

Mathematics Subject Classification ID

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

Related Items (1)

Translation invariant statistical experiments with independent increments

Cites Work

• 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
• Threshold models in time series analysis -- 30 years on
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Markov Chains and Stochastic Stability

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