Quantile self-exciting threshold autoregressive time series models

DOI10.1111/j.1467-9892.2007.00551.xzbMath1165.62062OpenAlexW2135388170WikidataQ61719211 ScholiaQ61719211MaRDI QIDQ3608193

Yuzhi Cai, Julian Stander

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00551.x

zbMATH Keywords

simulationnon-stationary time seriesBayesian methodsquantile self-exciting threshold autoregressive time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

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• On the ergodicity of \(TAR(1)\) processes
• A threshold AR(1) model
• Regression Quantiles
• Regression models for data with a non-zero probability of a zero response
• Unit Root Quantile Autoregression Inference
• Quantile Autoregression
• Bayesian quantile regression

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