THRESHOLD AUTOREGRESSIVE MODELING IN CONTINUOUS-TIME

被引：0
|
作者：
TONG, H
YEUNG, I
机构：
[1] UNIV KENT,INST MATH,CANTERBURY CT2 7NF,ENGLAND
[2] CITY POLYTECH HONG KONG,DEPT APPL MATH,KOWLOON,HONG KONG
来源：
STATISTICA SINICA | 1991年 / 1卷 / 02期
关键词：
CONTINUOUS TIME MODELS; DISSOLVED OXYGEN CONTENT; HANG SENG INDEX; IBM STOCK PRICE; KALMAN FILTER; LYNX; SELF-EXCITING THRESHOLD AUTOREGRESSION; STATE SPACE; UNEQUALLY SPACED DATA;
D O I：
暂无
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：
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.
引用
收藏
页码：411 / 430
页数：20
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