ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
- 30 April 2001
- journal article
- Published by Informa UK Limited in Communications in Statistics - Simulation and Computation
- Vol. 30 (2), 257-275
- https://doi.org/10.1081/sac-100002366
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Testing and Modeling Multivariate Threshold ModelsJournal of the American Statistical Association, 1998
- A threshold error-correction model for intraday futures and index returnsJournal of Applied Econometrics, 1998
- Non-Linear Parametric Modelling by Means of Self-Exciting Threshold Autoregressive ModelsPublished by Springer Science and Business Media LLC ,1998
- Adaptive parameter estimation in self-exciting threshold autoregressive modelsCommunications in Statistics - Simulation and Computation, 1998
- Identification and Stochastic Adaptive ControlPublished by Springer Science and Business Media LLC ,1991
- Non-linear Time SeriesPublished by Oxford University Press (OUP) ,1990
- Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series modelBiometrika, 1981
- STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSISJournal of Time Series Analysis, 1980
- Theory of Bilinear Dynamical SystemsPublished by Springer Science and Business Media LLC ,1972