Threshold models in non-linear time series analysis
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(only showing first 100 items - show all)- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- Simulation analysis of threshold autoregressive unit root tests
- DNA optimization threshold autoregressive prediction model and its application in ice condition time series
- Hidden Markov models with threshold effects and their applications to oil price forecasting
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- Hysteretic Poisson INGARCH model for integer-valued time series
- Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
- Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
- Autoregressive processes with data-driven regime switching
- Parameter estimation for a class of radial basis function-based nonlinear time-series models with moving average noises
- Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
- Bayesian analysis of multiple thresholds autoregressive model
- Extreme at-the-money skew in a local volatility model
- A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
- A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES
- Nonlinear autoregressive models with optimality properties
- Optimal estimates for the operating parameters of an information web portal
- Asymptotic scaling laws for precision of parameter estimates in dynamical systems
- Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
- Financial integration in emerging economies: an application of threshold cointegration
- The least-squares criteria of the random coefficient dynamic regression model
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- Efficient estimation in smooth threshold autoregressive(1) models
- Frequentist model averaging for threshold models
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
- Modified unit root tests and momentum threshold autoregressive processes.
- Self-exciting threshold models for time series of counts with a finite range
- Self-exciting threshold binomial autoregressive processes
- Bayesian analysis of threshold autoregressions
- Sequential point estimation of parameters in a threshold AR(1) model
- Bayesian estimation for threshold autoregressive model with multiple structural breaks
- A new nonlinearity test to circumvent the limitation of Volterra expansion with application
- An investigation of tests for linearity and the accuracy of likelihood based inference using random fields
- On the approximation of continuous time threshold ARMA processes
- ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
- Mixed Portmanteau Tests for Time‐Series Models
- Semi-parametric expected shortfall forecasting in financial markets
- Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
- On double hysteretic heteroskedastic model
- Weighted-averaging estimator for possible threshold in segmented linear regression model
- Improved method of sea level forecasting at Venice (Northern Adriatic sea)
- Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
- Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises
- Deviation inequalities and moderate deviations for estimators of parameters in TAR models
- Spline estimation of functional coefficient regression models for time series with correlated errors
- Two-step estimation of time-varying additive model for locally stationary time series
- SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
- Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation
- Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors
- A variable addition test for exogeneity in structural threshold models
- Discussion of `An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models' by Battaglia and Protopapas
- Identification of the dynamic parametrical model with an iterative orthogonal forward regression algorithm
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- Testing for neglected nonlinearity in regression models based on the theory of random fields
- Cost-sensitive estimation of ARMA models for financial asset return data
- Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
- Statistical estimation of the oscillating Brownian motion
- Testing for cointegration with threshold adjustment in the presence of structural breaks
- Nonlinear prediction of chaotic time series
- Nonparametric vector autoregression
- A confidence interval test for the detection of structural breaks
- A note on stationarity of the MTAR process on the boundary of the stationarity region
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Prediction of software reliability using an auto regressive process
- Adaptive estimation of the threshold point in threshold regression
- LM threshold unit root tests
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- A self-exciting threshold jump-diffusion model for option valuation
- Nonlinear ARMA models with functional MA coefficients
- Local unit roots and global stationarity of TARMA models
- Wavelet estimation of functional coefficient regression models
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
- NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION
- Riesz estimators
- Instability in regime switching models
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- A smoothed least squares estimator for threshold regression models
- The limiting behavior of least absolute deviation estimators for threshold autoregressive models
- Estimation in nonlinear time series models
- The moments of SETARMA models
- Spatio-temporal change-point modeling
- Threshold models in time series analysis -- some reflections
- Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
- The stationarity and invertibility of a class of nonlinear ARMA models
- An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
- Non-linear system identification using neural networks
- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
- Local polynomial estimators of the volatility function in nonparametric autoregression
- A hidden Markov regime-switching model for option valuation
- ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Regularized orthogonal least squares algorithm for constructing radial basis function networks
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Problems in estimating dynamics from data
- Functional-coefficient partially linear regression model
- Option pricing and filtering with hidden Markov-modulated pure-jump processes
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- On maximum likelihood estimators for a threshold autoregression
- Estimation in threshold autoregressive models with correlated innovations
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
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