Statistical Inference for Structurally Changed Threshold Autoregressive Models

DOI10.5705/SS.202017.0341zbMath1441.62233OpenAlexW2810773954MaRDI QIDQ5243737

Zhaoxing Gao, Shiqing Ling

Publication date: 19 November 2019

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

Full work available at URL: https://semanticscholar.org/paper/cc8645e88bac50616e0005126539aeec2ec27044

zbMATH Keywords

Brownian motionthresholdcompound Poisson processleast squares estimationchange-point

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Least squares and related methods for stochastic control systems (93E24) Brownian motion (60J65)

Related Items (4)

Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs ⋮ Bayesian estimation for threshold autoregressive model with multiple structural breaks ⋮ Optimal change-point estimation in time series ⋮ Variable selection for high-dimensional regression models with time series and heteroscedastic errors

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