Adaptive parameter estimation in self-exciting threshold autoregressive models

DOI10.1080/03610919808813518zbMath0919.62102OpenAlexW2004362619MaRDI QIDQ4232099

Matthias Arnold, Roland Günther

Publication date: 17 August 1999

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919808813518

zbMATH Keywords

almost sure convergencenonlinear time seriesrecursive estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS

Cites Work

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• Identification and stochastic adaptive control
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• A threshold AR(1) model
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Bayesian analysis of threshold autoregressions
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES

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