ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS

DOI10.1081/SAC-100002366zbMath1008.62663MaRDI QIDQ4784168

Matthias Arnold, Roland Günther

Publication date: 10 December 2002

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

Mathematics Subject Classification ID

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

Related Items

On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One ⋮ Graphical modelling of multivariate time series

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• Identification and stochastic adaptive control
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• Adaptive parameter estimation in self-exciting threshold autoregressive models
• Testing and Modeling Multivariate Threshold Models

This page was built for publication: ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS