Conditional quantile estimation for hysteretic autoregressive models

DOI10.5705/ss.202017.0324zbMath1439.62103OpenAlexW2953978530WikidataQ129699859 ScholiaQ129699859MaRDI QIDQ5109921

Degao Li, Li-wen Zhang, Wai Keung Li, Ruochen Zeng, Guodong Li

Publication date: 14 May 2020

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

Full work available at URL: https://doi.org/10.5705/ss.202017.0324

zbMATH Keywords

threshold modelautoregressionconditional quantile estimationhysteretic model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

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