Testing for a linear MA model against threshold MA models

DOI10.1214/009053605000000598zbMath1085.62102arXivmath/0603040OpenAlexW3102100758MaRDI QIDQ817980

Howell Tong, Shiqing Ling

Publication date: 23 March 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603040

zbMATH Keywords

likelihood ratio testinvertibilitysimulationsmarked empirical processthreshold MA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (17)

Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs ⋮ Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model ⋮ Simulation and application of subsampling for threshold autoregressive moving-average models ⋮ Estimation in threshold autoregressive models with correlated innovations ⋮ Testing for Threshold Effects in the TARMA Framework ⋮ The Marginal Density of a TMA(1) Process ⋮ The validity of bootstrap testing for threshold autoregression ⋮ Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ A note on moving‐average models with feedback ⋮ Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models ⋮ The stationarity and invertibility of a class of nonlinear ARMA models ⋮ A note on the invertibility of nonlinear ARMA models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ Statistical Properties of Threshold Models ⋮ Testing for structural change of AR model to threshold AR model ⋮ ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

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