Clipped AR(p) with unknown threshold

Samuel Flimmel

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 21, 5115-5122

Abstract: The present paper deals with a specific parameter estimation problem. Assuming a time series of 0-1-valued variables {Xn, n∈N0} obtained by clipping a Gaussian AR(p) time series {Zn, n∈N0} at unknown threshold h, an efficient method for estimating parameters is proposed. If the number of observations is sufficient, the model proves to be highly accurate. A set of simulations is provided as an illustration of theoretical results, supporting the quality of the estimation.

Date: 2020
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DOI: 10.1080/03610926.2019.1614192

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