| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155325 | Statistics & Probability Letters | 2006 | 9 Pages |
Abstract
This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alessandra Amendola, Marcella Niglio, Cosimo Vitale,