کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1151280 958209 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation of a multiple-threshold AR(p) model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Estimation of a multiple-threshold AR(p) model
چکیده انگلیسی

The present paper deals with the multiple-threshold pp-order autoregressive model which has been introduced by Tong and Lim [H. Tong, K.S. Lim, Threshold autoregression, limit cycles and cyclical data, J. R. Stat. Soc. Ser. B 42 (1980) 245–292] in nonlinear system modelling. Under some conditions on the coefficients of the model which ensure the stationarity, the existence of moments and the strong mixing property of this process and under other mild assumptions, we establish the asymptotic properties (consistency and asymptotic normality) of the minimum Hellinger distance estimates of the autoregressive coefficients of the model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistical Methodology - Volume 5, Issue 2, March 2008, Pages 177–186
نویسندگان
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