Statistical Properties of Threshold Models

DOI10.1080/03610920802571146MaRDI QIDQ3396353zbMATH OpenOpenAlexFDO

Authors Alessandra Amendola, Marcella Niglio, Cosimo Damiano Vitale

Publication date 18 September 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802571146

zbMATH Keywords

stationaritySETARMA modelThreshold processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series analysis of dynamical systems (37M10)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A multiple-threshold AR(1) model
• Ergodicity and invertibility of threshold moving-average models
• Forecasting the U.S. Unemployment Rate
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On forecasting SETAR processes
• On strict stationarity and ergodicity of a non-linear ARMA model
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On threshold moving-average models
• Testing for a linear MA model against threshold MA models
• Threshold models in non-linear time series analysis

Cited in

(13)

• Joint behaviour of precedences and exceedances in random threshold models
• The moments of SETARMA models
• Threshold accepting as limit case for a modified Tsallis statistics
• Double generalized threshold models with constraint on the dispersion by the mean
• Threshold structures in economic and financial time series
• On the stationary marginal distributions of subclasses of multivariate setar processes of order one
• Local unit roots and global stationarity of TARMA models
• Statistical analysis of multi-day solar irradiance using a threshold time series model
• Stability in threshold VAR models
• The autocorrelation function in SETARMA models
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• Instability in regime switching models
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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