CONSISTENCY AND LIMITING DISTRIBUTION OF THE LEAST-SQUARES ESTIMATOR OF A THRESHOLD AUTOREGRESSIVE MODEL

被引：784

作者：

CHAN, KS

机构：

来源：

ANNALS OF STATISTICS | 1993年 / 21卷 / 01期

关键词：

COMPOUND POISSON PROCESS; CONSISTENCY; ERGODICITY; LEAST SQUARES ESTIMATION; LIMITING DISTRIBUTION; THRESHOLD AUTOREGRESSIVE MODELS;

D O I：

10.1214/aos/1176349040

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：

It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson process.

引用

页码：520 / 533

页数：14

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