Simulation and application of subsampling for threshold autoregressive moving-average models

DOI10.1080/03610918.2019.1699932MaRDI QIDQ5082961zbMATH OpenOpenAlexWikidataFDO

Authors Dong Li, Muyi Li, Lianbin Zeng

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1699932

zbMATH Keywords

confidence intervalsleast squares estimationsubsamplingTARMA model

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Subset selection of double-threshold moving average models through the application of the Bayesian method
• A novel double-banded-threshold mixture autoregressive model
• Another approach for the asymptotic properties of threshold vector ARMA models

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