A note on the consistency of a robust estimator for threshold autoregressive processes

被引：4

作者：

Zhang, Li-Xin ^{[4
]}

Chan, Wai-Sum ^{[1
]}

Cheung, Siu-Hung ^{[2
,3
]}

Hung, King-Chi ^{[2
]}

机构：

[1] Chinese Univ Hong Kong, Dept Finance, Hong Kong, Hong Kong, Peoples R China

[2] Chinese Univ Hong Kong, Dept Stat, Hong Kong, Hong Kong, Peoples R China

[3] Natl Cheng Kung Univ, Dept Stat, Tainan 70101, Taiwan

[4] Zhejiang Univ, Dept Math, Hangzhou 310028, Zhejiang, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 06期

关键词：

LEAST-SQUARES ESTIMATOR; TIME-SERIES; MODELS;

D O I：

10.1016/j.spl.2008.10.036

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：

The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 21, 520-533]. In this note we consider a general class of robust estimators for threshold autoregressive models, and under some regularity conditions and a proper choice of the weight function, the consistency is demonstrated. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：807 / 813

页数：7

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