On parameter estimation of threshold autoregressive models

被引：8
|
作者：
Ngai Hang Chan
Yury A. Kutoyants
机构：
[1] Chinese University of Hong Kong,Department of Statistics
[2] Université du Maine,Laboratoire de Statistique et Processus
来源：
Statistical Inference for Stochastic Processes | 2012年 / 15卷 / 1期
关键词：
Bayesian estimator; Continuous-time diffusion; Compound Poisson process; Limit distribution; Limit likelihood ratio; Nonlinear threshold models; Primary 62G30; Secondary 62M10;
D O I：
10.1007/s11203-011-9064-0
中图分类号：
学科分类号：
摘要：
This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and its limit distribution is expressed in terms of a limit likelihood ratio. Furthermore, convergence of moments of the estimators is also established. The limit distribution can be computed via explicit simulations from which testing and inference for the threshold parameter can be conducted. The obtained results are illustrated with numerical simulations.
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页码：81 / 104
页数：23
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