Estimation in threshold autoregressive models with correlated innovations

P. Chigansky () and Yu. Kutoyants ()

Annals of the Institute of Statistical Mathematics, 2013, vol. 65, issue 5, 959-992

Abstract: Large sample statistical analysis of threshold autoregressive models is usually based on the assumption that the underlying driving noise is uncorrelated. In this paper, we consider a model, driven by Gaussian noise with geometric correlation tail and derive a complete characterization of the asymptotic distribution for the Bayes estimator of the threshold parameter. Copyright The Institute of Statistical Mathematics, Tokyo 2013

Keywords: Asymptotic statistics; Bayes estimator; Threshold autoregression; Hidden Markov models (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10463-013-0402-4

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