Tong, H.W and Yeung, I. (1991) Threshold Autoregressive Modeling in continuous-time. Statistica Sinica, 1 (2). pp. 411-430. ISSN 1017-0405.
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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.
|Uncontrolled keywords:||CONTINUOUS TIME MODELS; DISSOLVED OXYGEN CONTENT; HANG SENG INDEX; IBM STOCK PRICE; KALMAN FILTER; LYNX; SELF-EXCITING THRESHOLD AUTOREGRESSION; STATE SPACE; UNEQUALLY SPACED DATA|
|Subjects:||H Social Sciences > HA Statistics|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics|
|Depositing User:||P. Ogbuji|
|Date Deposited:||29 Jun 2011 12:38|
|Last Modified:||29 Jun 2011 12:38|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/22780 (The current URI for this page, for reference purposes)|
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