Statistical Inference for Structurally Changed Threshold Autoregressive Models

DOI10.5705/SS.202017.0341MaRDI QIDQ5243737zbMATH OpenOpenAlexFDO

Authors Zhaoxing Gao, Shiqing Ling

Publication date 19 November 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/cc8645e88bac50616e0005126539aeec2ec27044

zbMATH Keywords

Brownian motionchange-pointcompound Poisson processleast squares estimationthreshold

Mathematics Subject Classification ID

Brownian motion (60J65) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Least squares and related methods for stochastic control systems (93E24)

Recommendations

• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
• Inference in TAR Models
• Empirical Likelihood for Threshold Autoregressive Models
• On parameter estimation of threshold autoregressive models
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model
• scientific article; zbMATH DE number 7295288
• A Bayesian threshold nonlinearity test for TAR models
• scientific article; zbMATH DE number 613169

Cited in

(13)

• Misspecified structural change, threshold, and Markov-switching models.
• Optimal change-point estimation in time series
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models
• Variable selection for high-dimensional regression models with time series and heteroscedastic errors
• Subsampling inference in threshold autoregressive models
• Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model
• Inference in TAR Models
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• An empirical-likelihood-based structural-change test for INAR processes
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• A novel double-banded-threshold mixture autoregressive model
• When structural break meets threshold effect: factor analysis under structural instabilities

This page was built for publication: Statistical Inference for Structurally Changed Threshold Autoregressive Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5243737)