Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion

DOI10.1016/j.econlet.2018.08.039zbMath1407.62254OpenAlexW2890900560WikidataQ129328496 ScholiaQ129328496MaRDI QIDQ1629646

Peter C. B. Phillips, Ping Yu

Publication date: 12 December 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/423711/1/From_Compound_Poisson_Process_to_Brownian_Motion.pdf

zbMATH Keywords

Brownian motioncompound Poisson processthreshold regressionDoob's martingale inequalitysequential asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) Brownian motion (60J65) Martingales with continuous parameter (60G44)

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On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models

Cites Work

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