THRESHOLD AUTOREGRESSIVE MODELING IN CONTINUOUS-TIME

被引：0
|
作者：
TONG, H
YEUNG, I
机构：
[1] UNIV KENT,INST MATH,CANTERBURY CT2 7NF,ENGLAND
[2] CITY POLYTECH HONG KONG,DEPT APPL MATH,KOWLOON,HONG KONG
来源：
STATISTICA SINICA | 1991年 / 1卷 / 02期
关键词：
CONTINUOUS TIME MODELS; DISSOLVED OXYGEN CONTENT; HANG SENG INDEX; IBM STOCK PRICE; KALMAN FILTER; LYNX; SELF-EXCITING THRESHOLD AUTOREGRESSION; STATE SPACE; UNEQUALLY SPACED DATA;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We have developed a procedure for identifying continuous time, self-exciting, threshold, autoregressive models and applied the procedure to several real data sets. The performance of the fitted threshold models to real data is discussed and compared with that of the fitted linear models.
引用
收藏
页码：411 / 430
页数：20
相关论文
共 50 条
  • [1] CONTINUOUS-TIME THRESHOLD AUTOREGRESSIVE MODELS
    BROCKWELL, PJ
    HYNDMAN, RJ
    GRUNWALD, GK
    [J]. STATISTICA SINICA, 1991, 1 (02) : 401 - 410
  • [2] APPROXIMATIONS AND BOUNDARY-CONDITIONS FOR CONTINUOUS-TIME THRESHOLD AUTOREGRESSIVE PROCESSES
    HYNDMAN, RJ
    [J]. JOURNAL OF APPLIED PROBABILITY, 1994, 31 (04) : 1103 - 1109
  • [3] Bootstrapping continuous-time autoregressive processes
    Brockwell, Peter J.
    Kreiss, Jens-Peter
    Niebuhr, Tobias
    [J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2014, 66 (01) : 75 - 92
  • [4] Bootstrapping continuous-time autoregressive processes
    Peter J. Brockwell
    Jens-Peter Kreiss
    Tobias Niebuhr
    [J]. Annals of the Institute of Statistical Mathematics, 2014, 66 : 75 - 92
  • [5] ON CONTINUOUS-TIME THRESHOLD AUTOREGRESSION
    BROCKWELL, PJ
    HYNDMAN, RJ
    [J]. INTERNATIONAL JOURNAL OF FORECASTING, 1992, 8 (02) : 157 - 173
  • [6] On Maximum Likelihood Estimation of Continuous-Time Oscillators Modelled as Continuous-Time Autoregressive System
    Coronel, M.
    Gonzalez, K.
    Escarate, P.
    Carvajal, R.
    Aguero, J. C.
    [J]. IEEE LATIN AMERICA TRANSACTIONS, 2019, 17 (07) : 1214 - 1219
  • [7] Optimal Sampling Rates for Reliable Continuous-Time First-Order Autoregressive and Vector Autoregressive Modeling
    Adolf, Janne K.
    Loossens, Tim
    Tuerlinckx, Francis
    Ceulemans, Eva
    [J]. PSYCHOLOGICAL METHODS, 2021, 26 (06) : 701 - 718
  • [8] A NOTE ON A DELAYED AUTOREGRESSIVE PROCESS IN CONTINUOUS-TIME
    TONG, H
    [J]. BIOMETRIKA, 1983, 70 (03) : 710 - 712
  • [9] ON CONTINUOUS-TIME THRESHOLD ARMA PROCESSES
    BROCKWELL, PJ
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1994, 39 (02) : 291 - 303
  • [10] CONTINUOUS-TIME AUTOREGRESSIVE MODELS WITH COMMON STOCHASTIC TRENDS
    HARVEY, AC
    STOCK, JH
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3): : 365 - 384
12345