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On estimating thresholds in autoregressive models. (English) Zbl 0596.62085
Summary: The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least- squares estimate may be obtained. Artificial and real data are used for illustrations.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
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