Threshold models in time series analysis — 30 years on

Autor:	Howell Tong
Rok vydání:	2011
Předmět:	Statistics and Probability Conditional least squares Heteroscedasticity Markov chain Applied Mathematics Ergodicity Probabilistic logic Econometrics Time series Volatility (finance) Threshold model Mathematics
Zdroj:	Statistics and Its Interface. 4:107-118
ISSN:	1938-7997 1938-7989
DOI:	10.4310/sii.2011.v4.n2.a1
Popis:	This paper is a selective review of the development of the threshold model in time series analysis over the past 30 years or so. First, it re-visits the motivation of the model. Next, it describes the various expressions of the model, highlighting the principle underlying them and the main probabilistic and statistical properties. Finally, after listing some of the recent offsprings of the threshold model, it finishes with some on-going research in the context of threshold volatility.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::023eb5eda7dc410b953709f2c7bb73bb https://doi.org/10.4310/sii.2011.v4.n2.a1 Zobrazit plný text záznamu