The autocorrelation function in SETARMA models

MaRDI QIDQ5297406zbMATH OpenFDO

Authors Alessandra Amendola, Marcella Niglio, Cosimo Damiano Vitale

Publication date 18 July 2007

zbMATH Keywords

autocorrelationsidentificationmomentsthreshold models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Recommendations

• Statistical Properties of Threshold Models
• The moments of SETARMA models
• On threshold moving-average models
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• scientific article; zbMATH DE number 1051047

Cited in

(3)

• The moments of SETARMA models
• Copula approach to residuals of regime-switching models
• Statistical Properties of Threshold Models

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