Name
Title | ||
|---|---|---|
Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes |
Abstract | ||
|---|---|---|
This article redefines the self-exciting threshold integer-valued autoregressive (SETINAR(2,1)) processes under a weaker condition that the second moment is finite, and studies the quasi-likelihood inference for the new model. The ergodicity of the new processes is discussed. Quasi-likelihood estimators for the model parameters and the asymptotic properties are obtained. Confidence regions of the parameters based on the quasi-likelihood method are given. A simulation study is conducted for the evaluation of the proposed approach and an application to a real data example is provided. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1007/s00180-017-0748-9 | Computational Statistics |
Keywords | DocType | Volume |
SETINAR process,Integer-valued threshold models,Confidence region | Journal | 32 |
Issue | ISSN | Citations |
4 | 1613-9658 | 2 |
PageRank | References | Authors |
0.63 | 0 | 3 |