ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

K. S. Chan and H. Tong

Journal of Time Series Analysis, 1986, vol. 7, issue 3, 179-190

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.

Date: 1986
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