Testing and Modeling Multivariate Threshold Models
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Publication:4541180
DOI10.2307/2669861zbMath1063.62578OpenAlexW4233447720MaRDI QIDQ4541180
Publication date: 30 July 2002
Full work available at URL: https://doi.org/10.2307/2669861
Akaike information criterionrecursive least squaresthreshold cointegrationnonlinearity testpredictive residualsarranged autoregressionmodel change
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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