Simulation and application of subsampling for threshold autoregressive moving-average models

被引：0

作者：

Li, Dong ^{[1
,2
]}

Li, Muyi ^{[3
,4
]}

Zeng, Lianbin ^{[5
]}

机构：

[1] Tsinghua Univ, Ctr Stat Sci, Beijing, Peoples R China

[2] Tsinghua Univ, Dept Ind Engn, Beijing, Peoples R China

[3] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Sch Econ, Xiamen, Fujian, Peoples R China

[4] Xiamen Univ, Dept Stat, Sch Econ, Xiamen, Fujian, Peoples R China

[5] AP Capital Management Ltd, Dept Investment & Trading, Shenzhen, Guangdong, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2022年 / 51卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Confidence intervals; Least squares estimation; Subsampling; TARMA model; LEAST-SQUARES ESTIMATION; ESTIMATOR; INFERENCE;

D O I：

10.1080/03610918.2019.1699932

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：

This article considers subsampling inference for threshold ARMA (TARMA) models. Of main interest is inference for the threshold parameter, for which it is known that the limiting distribution of the corresponding estimator is non-normal and very complicated. A simple approach based on a subsampling method is proposed to construct asymptotically valid confidence intervals for the threshold parameter. It is demonstrated that our method furnishes a valid inference for the threshold parameter. The performance of this method in finite samples is evaluated through simulation studies.

引用

页码：2110 / 2121

页数：12

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