Journal article
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Journal of time series analysis, Vol.7(3), pp.179-190
05/1986
DOI: 10.1111/j.1467-9892.1986.tb00501.x
Abstract
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. Copyright © 1986, Wiley Blackwell. All rights reserved
Details
- Title: Subtitle
- ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
- Creators
- K. S Chan - Chinese University of Hong KongH Tong - Chinese University of Hong Kong
- Resource Type
- Journal article
- Publication Details
- Journal of time series analysis, Vol.7(3), pp.179-190
- Publisher
- Blackwell Publishing Ltd
- DOI
- 10.1111/j.1467-9892.1986.tb00501.x
- ISSN
- 0143-9782
- eISSN
- 1467-9892
- Number of pages
- 12
- Language
- English
- Date published
- 05/1986
- Academic Unit
- Radiology; Statistics and Actuarial Science
- Record Identifier
- 9984257738902771
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