On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series

DOI10.2307/2347904zbMath0825.62680OpenAlexW2226919709MaRDI QIDQ4843936

Iris M. H. Yeung, Howell Tong

Publication date: 17 August 1995

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347904

zbMATH Keywords

Kalman filterpartial observationsnon-linearityTsay's testshare priceHang Seng indexIBM stock pricePetruccelli-Davis testPetruccelli's testself-exciting threshold autoregression

Mathematics Subject Classification ID

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

Related Items (9)

Comparing several parametric and nonparametric approaches to time series clustering: a simulation study ⋮ Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data ⋮ An alternative sequential method for the state estimation of a partially observed SETAR(1) process ⋮ Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use ⋮ Asset allocation under threshold autoregressive models ⋮ Nonlinearity tests in time series analysis ⋮ Unnamed Item ⋮ Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series ⋮ Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic

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