On maximum likelihood estimators for a threshold autoregression

DOI10.1016/S0378-3758(98)00113-XzbMath0953.62098WikidataQ127942877 ScholiaQ127942877MaRDI QIDQ1299006

Lianfen Qian

Publication date: 29 January 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

coefficient parameter estimatorn-consistency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10)

Related Items (16)

Changepoint Estimation in a Segmented Linear Regression via Empirical Likelihood ⋮ Unnamed Item ⋮ An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model ⋮ Estimation of generalized threshold autoregressive models ⋮ Threshold negative binomial autoregressive model ⋮ Weak convergence of the sequential empirical processes of residuals in TAR models ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Threshold autoregressive models for interval-valued time series data ⋮ Comparative analysis of robust and classical methods for estimating the parameters of a threshold autoregression equation ⋮ On the least squares estimation of multiple-regime threshold autoregressive models ⋮ A note on the consistency of a robust estimator for threshold autoregressive processes ⋮ Bootstrap order selection for SETAR models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS ⋮ Maximum likelihood estimation of dynamic panel threshold models ⋮ Testing for a linear MA model against threshold MA models

Cites Work

• Threshold models in non-linear time series analysis
• Efficient estimation in nonlinear autoregressive time-series models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• The limiting log-likelihood process for discontinuous density families
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A multiple-threshold AR(1) model
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• Some Useful Functions for Functional Limit Theorems
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