Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes

被引：0
作者：
Han Li
Kai Yang
Dehui Wang
机构：
[1] Jilin University,School of Mathematics
来源：
Computational Statistics | 2017年 / 32卷
关键词：
SETINAR process; Integer-valued threshold models; Confidence region;
D O I：
暂无
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学科分类号：
摘要：
This article redefines the self-exciting threshold integer-valued autoregressive (SETINAR(2,1)) processes under a weaker condition that the second moment is finite, and studies the quasi-likelihood inference for the new model. The ergodicity of the new processes is discussed. Quasi-likelihood estimators for the model parameters and the asymptotic properties are obtained. Confidence regions of the parameters based on the quasi-likelihood method are given. A simulation study is conducted for the evaluation of the proposed approach and an application to a real data example is provided.
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页码：1597 / 1620
页数：23
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