A note on the consistency of a robust estimator for threshold autoregressive processes

DOI10.1016/j.spl.2008.10.036zbMath1157.62062OpenAlexW2088054819MaRDI QIDQ1009720

King-Chi Hung, Zhang, Lixin, Wai Sum Chan, Siu Hung Cheung

Publication date: 3 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.036

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study

Cites Work

• Unnamed Item
• Threshold models in non-linear time series analysis
• A practical method for outlier detection in autoregressive time series modelling
• On maximum likelihood estimators for a threshold autoregression
• Small sample properties of the conditional least squares estimator in SETAR models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Asymptotics of M-estimators in two-phase linear regression models.
• A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Robust Estimation of the First-Order Autoregressive Parameter

This page was built for publication: A note on the consistency of a robust estimator for threshold autoregressive processes