ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

DOI10.1017/S026646661200045XzbMath1274.62604OpenAlexW1973210924MaRDI QIDQ2845020

Shiqing Ling, Dong Li, Wai Keung Li

Publication date: 22 August 2013

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661200045x

zbMATH Keywords

Poisson processasymptotic theoryresampling methodleast squares estimationsimulation studiesthreshold moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (11)

Double generalized threshold models with constraint on the dispersion by the mean ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Asymptotic inference in multiple-threshold double autoregressive models ⋮ Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime ⋮ Change point estimation in regression model with response missing at random ⋮ Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models ⋮ The Marginal Density of a TMA(1) Process ⋮ Estimation of generalized threshold autoregressive models ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Quasi-likelihood estimation of structure-changed threshold double autoregressive models

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