Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model

DOI10.1080/03610918.2012.740123zbMath1333.62204OpenAlexW2086337143MaRDI QIDQ5418891

L. Djeddou, Mohamed Bentarzi

Publication date: 30 May 2014

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

Full work available at URL: https://doi.org/10.1080/03610918.2012.740123

zbMATH Keywords

adaptive estimationperiodically correlated processthreshold autoregressive modellocal asymptotic normality propertyperiodic self-exciting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Related Items (4)

Efficient estimation in (PINAR(1)) model: semiparametric case ⋮ Efficient estimation in periodic INAR(1) model: parametric case ⋮ Locally asymptotically efficient estimation for parametric PINAR(p) models ⋮ Efficient estimation in semiparametric self-exciting threshold INAR processes

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