Estimation in threshold autoregressive models with correlated innovations

DOI10.1007/s10463-013-0402-4zbMath1273.62207arXiv1108.1536OpenAlexW3103850640MaRDI QIDQ380012

Mohammad Hasan, H. S. Yoon

Publication date: 11 November 2013

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.1536

zbMATH Keywords

Bayes estimatorhidden Markov modelsasymptotic statisticsthreshold autoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bayesian inference (62F15) Characterization and structure theory of statistical distributions (62E10)

Related Items (1)

Fixed accuracy estimation of parameters in a threshold autoregressive model

Cites Work

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• A new covariance inequality and applications.
• Markov Chains and Stochastic Stability
• Threshold Autoregression with a Unit Root
• Testing and Modeling Threshold Autoregressive Processes

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