TESTING AND MODELING THRESHOLD AUTOREGRESSIVE PROCESSES

被引：512
作者：
TSAY, RS [1 ]
机构：
[1] CARNEGIE MELLON UNIV, DEPT STAT, PITTSBURGH, PA 15213 USA
来源：
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION | 1989年 / 84卷 / 405期
关键词：
D O I：
10.2307/2289868
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：
引用
收藏
页码：231 / 240
页数：10
相关论文
共 21 条
[1]   NEW LOOK AT STATISTICAL-MODEL IDENTIFICATION [J].
AKAIKE, H .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1974, AC19 (06) :716-723
[2]  
Billingsley P., 1961, P AM MATH SOC, V12, P788
[3]  
Box G. E. P., 1976, TIME SERIES ANAL FOR
[4]  
Chan K.S., 1986, J TIME SER ANAL, V7, P179, DOI DOI 10.1111/J.1467-9892.1986.TB00501.X
[5]   SOME ALGORITHMS FOR LINEAR SPLINE AND PIECEWISE MULTIPLE LINEAR-REGRESSION [J].
ERTEL, JE ;
FOWLKES, EB .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1976, 71 (355) :640-648
[6]  
Goodwin G.C., 1977, DYNAMIC SYSTEM IDENT, V1st ed.
[7]  
Haggan V., 1984, J TIME SER ANAL, V5, P69
[8]   A TUKEY NONADDITIVITY-TYPE TEST FOR TIME-SERIES NONLINEARITY [J].
KEENAN, DM .
BIOMETRIKA, 1985, 72 (01) :39-44
[9]   LEAST-SQUARES ESTIMATES IN STOCHASTIC REGRESSION-MODELS WITH APPLICATIONS TO IDENTIFICATION AND CONTROL OF DYNAMIC-SYSTEMS [J].
LAI, TL ;
WEI, CZ .
ANNALS OF STATISTICS, 1982, 10 (01) :154-166
[10]  
Lim K.S., 1987, J TIME SER ANAL, V8, P161, DOI 10.1111/j.1467-9892.1987.tb00430.x
123