On threshold moving-average models

DOI10.1111/1467-9892.00074zbMath0902.62103OpenAlexW2136111214MaRDI QIDQ3838318

Jan G. De Gooijer

Publication date: 9 December 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00074

zbMATH Keywords

Monte CarlononlinearityLagrange multiplier testconditional least squares estimationasymmetric moving average

Mathematics Subject Classification ID

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

Related Items (18)

Large shocks vs. small shocks. (Or does size matter? May be so.) ⋮ The marginal distribution function of threshold-type processes with central symmetric innovations ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Information quantity evaluation of nonlinear time series processes and applications ⋮ The Marginal Density of a TMA(1) Process ⋮ Multi-step forecasts from threshold ARMA models using asymmetric loss functions ⋮ Invertibility of non-linear time series models ⋮ A multivariate descriptor method for change-point detection in nonlinear time series ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ A note on moving‐average models with feedback ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ Thresholds of moving averages of stationary processes for given target significant levels ⋮ On Thresholds of Moving Averages with Given On-Target Significant Levels ⋮ Bayesian subset selection for threshold autoregressive moving-average models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ Statistical Properties of Threshold Models ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS ⋮ Testing for a linear MA model against threshold MA models

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