Efficient estimation in smooth threshold autoregressive(1) models

DOI10.1080/15598608.2008.10411862zbMath1427.62103OpenAlexW2009440320MaRDI QIDQ2324066

Darfiana Nur, N. D. Yatawara, Gopalan M. Nair

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1959.13/41259

zbMATH Keywords

stationarityefficient estimationadaptive estimationnonlinear time serieslocally asymptotically normalsmooth threshold autoregressive

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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• On estimation and adaptive estimation for locally asymptotically normal families
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• A characterization of limiting distributions of regular estimates

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