THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES

DOI10.1111/j.1467-9892.1992.tb00095.xzbMath0850.62667OpenAlexW1992454950MaRDI QIDQ4012962

Vance L. Martin

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00095.x

Mathematics Subject Classification ID

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

Related Items (1)

On a mixture vector autoregressive model

Cites Work

• Threshold models in non-linear time series analysis
• Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family
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