Statistical Properties of Threshold Models

DOI10.1080/03610920802571146zbMath1177.37081OpenAlexW2092765528MaRDI QIDQ3396353

Marcella Niglio, Alessandra Amendola, Cosimo Damiano Vitale

Publication date: 18 September 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802571146

zbMATH Keywords

stationaritySETARMA modelThreshold processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series analysis of dynamical systems (37M10)

Related Items (4)

Threshold Structures in Economic and Financial Time Series ⋮ Instability in regime switching models ⋮ Local unit roots and global stationarity of TARMA models ⋮ Temporal clustering of time series via threshold autoregressive models: application to commodity prices

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• Forecasting the U.S. Unemployment Rate
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model

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