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On progressively truncated maximum likelihood estimators

โœ Scribed by Nobuo Inagaki; Pranab Kumar Sen


Publisher
Springer Japan
Year
1985
Tongue
English
Weight
788 KB
Volume
37
Category
Article
ISSN
0020-3157

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On maximum likelihood estimators for a t
โœ Lianfen Qian ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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