Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

DOI10.1186/s13660-021-02581-3zbMath1504.62132OpenAlexW3165136050MaRDI QIDQ2072816

Cui-Xin Peng, Zhi-Wen Zhao

Publication date: 26 January 2022

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-021-02581-3

zbMATH Keywords

confidence regionleast squares methodempirical likelihoodthreshold autoregressive modelconditional heteroscedasticity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

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