Document Zbl 1490.62278

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Tong, Howell

Threshold models in time series analysis – 30 years on. (English) Zbl 1490.62278

Stat. Interface 4, No. 2, 107-118 (2011).

Summary: This paper is a selective review of the development of the threshold model in time series analysis over the past 30 years or so. First, the review re-visits the motivation of the model. Next, it describes the various expressions of the model, highlighting the underlying principle and the main probabilistic and statistical properties. Finally, after listing some of the recent offsprings of the threshold model, the review finishes with some on-going research in the context of threshold volatility.

Cited in 1 Review

Cited in 60 Documents

MSC:

62M10	Time series, auto-correlation, regression, etc. in statistics (GARCH)
62-02	Research exposition (monographs, survey articles) pertaining to statistics

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