We investigate the effects of additive outliers on the least squares (LS) estimation of threshold autoregressive models. The class of generalized-M (GM) estimates for linear time series is modified and applied to non-linear threshold processes. A Monte Car10 experiment is carried out to study the ro
โฆ LIBER โฆ
On parameter estimation of threshold autoregressive models
โ Scribed by Ngai Hang Chan; Yury A. Kutoyants
- Publisher
- Springer Netherlands
- Year
- 2011
- Tongue
- English
- Weight
- 347 KB
- Volume
- 15
- Category
- Article
- ISSN
- 1387-0874
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