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
โฆ LIBER โฆ
Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice
โ Scribed by S. Sethuraman; I.V. Basawa
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 549 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0378-3758
No coin nor oath required. For personal study only.
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