Asymmetric smooth transition autoregressive model in forecasting finance rate on consumer installment loans at commercial banks

DOI10.22103/JMMR.2024.23818.1684MaRDI QIDQ6669567

Sedigheh Zamani Mehreyan

Publication date: 22 January 2025

Published in: Journal of Mahani Mathematical Research Center (Search for Journal in Brave)

zbMATH Keywords

parameter estimationasymmetric modelmodified maximum likelihoodmethod of momentLSTAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
• Bayesian estimation and forecasting in non-linear models
• Bayesian Model Uncertainty In Smooth Transition Autoregressions
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• Modified maximum likelihood estimation
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Separated hypotheses testing for autoregressive models with non-negative residuals

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