Times series models with thresholds

MaRDI QIDQ2750779zbMATH OpenFDO

Authors Guy Mélard, Roch Roy

Publication date 21 October 2001

Published in Revue de Statistique Appliquée (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=RSA_1988__36_4_5_0, https://eudml.org/doc/106247

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Recommendations

• scientific article; zbMATH DE number 3899997
• Testing and Modeling Threshold Autoregressive Processes
• scientific article; zbMATH DE number 775745
• scientific article; zbMATH DE number 775746
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

Cites work

• A threshold AR(1) model
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• scientific article; zbMATH DE number 3872513 (Why is no real title available?)
• scientific article; zbMATH DE number 3899992 (Why is no real title available?)
• scientific article; zbMATH DE number 3700081 (Why is no real title available?)
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• scientific article; zbMATH DE number 3791485 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 3196591 (Why is no real title available?)
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• The estimation of a nonlinear moving average model
• The estimation of the order of an ARMA process
• Threshold models in non-linear time series analysis

Cited in

(8)

• Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
• Qualitative threshold ARCH models
• Estimating threshold subset autoregressive moving-average models by genetic algorithms
• An empirical study on the parsimony and descriptive power of TARMA models
• scientific article; zbMATH DE number 3899997 (Why is no real title available?)
• Threshold structures in economic and financial time series
• Nonlinear modelling of periodic threshold autoregressions using Tsmars
• Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models

This page was built for publication: Times series models with thresholds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2750779)