Multivariate Hysteretic Autoregressive Models

DOI10.5705/SS.202020.0411OpenAlexW3112463525MaRDI QIDQ5072148

Ruey S. Tsay

Publication date: 25 April 2022

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202020.0411

zbMATH Keywords

hysteresisnonlinear modelMarkov chainleast squares estimationthreshold variable

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Markov chains and stochastic stability
• Nested sub-sample search algorithm for estimation of threshold models
• Hysteretic autoregressive time series models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Testing and Modeling Multivariate Threshold Models
• Testing and Modeling Threshold Autoregressive Processes
• Nonlinear Time Series Analysis
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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