Threshold Autoregressive Modeling in continuous-time

Tong, Howell and Yeung, Iris (1991) Threshold Autoregressive Modeling in continuous-time. Statistica Sinica, 1 (2). pp. 411-430. ISSN 1017-0405. (The full text of this publication is not available from this repository)

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Abstract

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.

Item Type: Article
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: 25 Jun 2014 09:36
Resource URI: http://kar.kent.ac.uk/id/eprint/22780 (The current URI for this page, for reference purposes)
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