Estimation in threshold autoregressive models with correlated innovations

P. Chigansky; Y. Kutoyants

doi:10.1007/s10463-013-0402-4

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arXiv · 1108.1536

Estimation in threshold autoregressive models with correlated innovations

P. Chigansky·Y. Kutoyants

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Abstract

Large sample statistical analysis of threshold autoregressive (TAR) models is usually based on the assumption that the underlying driving noise is uncorrelated. In this paper, we consider a model, driven by Gaussian noise with geometric correlation tail and derive a complete characterization of the asymptotic distribution for the Bayes estimator of the threshold parameter.

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P. Chigansky, Y. Kutoyants. 2011-08-07. Estimation in threshold autoregressive models with correlated innovations. https://doi.org/10.1007/s10463-013-0402-4

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