ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

Journal of Time Series Analysis - Tập 7 Số 3 - Trang 179-190 - 1986
Kung‐Sik Chan1,2, Howell Tong1,3
1Chinese University of Hong Kong
2City Polytechnic of Hong Kong,
3University of Kent, U.K.

Tóm tắt

Abstract. The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least‐squares estimate may be obtained. Artificial and real data are used for illustrations.

Từ khóa


Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Time Series Analysis

Tập 7 Số 3

179-190

Thông tin tác giả