THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES

DOI10.1111/J.1467-9892.1992.TB00095.XMaRDI QIDQ4012962zbMATH OpenOpenAlexFDO

Authors Vance Martin

Publication date 27 September 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00095.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3783956 (Why is no real title available?)
• Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family
• Threshold models in non-linear time series analysis

Cited in

(3)

• A generalized Burr mixture autoregressive models for modeling non linear time series
• Non-Gaussian autoregressive processes with Tukey g-and-h transformations
• On a mixture vector autoregressive model

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