Nested sub-sample search algorithm for estimation of threshold models

DOI10.5705/ss.2013.394tzbMath1356.62147OpenAlexW2325370670MaRDI QIDQ2828613

Dong Li, Howell Tong

Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68880/

zbMATH Keywords

maximum likelihood estimationthreshold modelleast squares estimationnested sub-sample search algorithmstandard grid search algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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