Estimation in threshold autoregressive models with correlated innovations
Statistics Theory
2015-03-19 v4 Probability
Statistics Theory
Abstract
Large sample statistical analysis of threshold autoregressive (TAR) 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.
Cite
@article{arxiv.1108.1536,
title = {Estimation in threshold autoregressive models with correlated innovations},
author = {P. Chigansky and Y. Kutoyants},
journal= {arXiv preprint arXiv:1108.1536},
year = {2015}
}
Comments
to appear in Ann. Inst. Stat. Math