On maximum likelihood estimators for a t
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Lianfen Qian
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Article
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1998
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Elsevier Science
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English
โ 188 KB
For a stationary ergodic self-exciting threshold autoregressive model with single threshold parameter, Chan (1993) obtained the consistency and limiting distribution of the least-squares estimator for the underlying true parameters. In this paper, we derive the similar results for the maximum likeli