Thresholds of moving averages of stationary processes for given target significant levels

DOI10.1007/S00180-008-0135-7zbMath1198.62084OpenAlexW2071036718MaRDI QIDQ964658

Ahmad Reza Soltani, Fahimah Al-Awadhi

Publication date: 22 April 2010

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-008-0135-7

zbMATH Keywords

Markov chainstransition probabilityautoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Fitting MA(\(q\)) models in the closed invertible region
• On threshold moving-average models
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• On Thresholds of Moving Averages with Given On-Target Significant Levels

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