Empirical likelihood for special self-exciting threshold autoregressive models with heavy-tailed errors

DOI10.1080/03610926.2021.2020842OpenAlexW4200153611MaRDI QIDQ6170139

Jin-yu Li

Publication date: 12 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.2020842

zbMATH Keywords

confidence intervalempirical likelihoodLAD estimatorSETAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Cites Work

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