Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
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Cites work
- A Bayesian analysis of generalized threshold autoregressive models
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- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series
- Sample Splitting and Threshold Estimation
- Small sample properties of the conditional least squares estimator in SETAR models
- State space modeling of non-standard actuarial time series
- Threshold Autoregression with a Unit Root
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Cited in
(16)- Nonlinear stochastic inflation modelling using SEASETARs.
- Self-exciting threshold binomial autoregressive processes
- A self-exciting threshold jump-diffusion model for option valuation
- Autoregressive Modelle in der privaten Krankenversicherung
- Updating Wilkie's economic scenario generator for U.S. applications
- On complex economic scenario generators: is less more?
- On the stationary marginal distributions of subclasses of multivariate setar processes of order one
- Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks
- Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
- Estimating a banking-macro model using a multi-regime VAR
- Economic scenario generator and parameter uncertainty: a Bayesian approach
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
- A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- The real consequences of financial stress
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