Ghezal, Ahmed; Cavicchioli, Maddalena; Zemmouri, Imane On the existence of stationary threshold bilinear processes. (English) Zbl 1541.62220 Stat. Pap. 65, No. 6, 3739-3767 (2024). MSC: 62M10 62M05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zhang, Yuanqing; Ai, Chunrong; Feng, Yaqin Threshold effect in varying coefficient models with unknown heteroskedasticity. (English) Zbl 07876411 Comput. Stat. 39, No. 3, 1165-1181 (2024). MSC: 62-08 × Cite Format Result Cite Review PDF Full Text: DOI
Giannerini, Simone; Goracci, Greta; Rahbek, Anders The validity of bootstrap testing for threshold autoregression. (English) Zbl 07813985 J. Econom. 239, No. 1, Article ID 105379, 24 p. (2024). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Mazzonetto, Sara; Pigato, Paolo Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations. (English) Zbl 07796631 Stat. Sin. 34, No. 1, 313-336 (2024). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Martínez, Johann H.; Ramasco, José J.; Zanin, Massimiliano On the complementarity of ordinal patterns-based entropy and time asymmetry metrics. (English) Zbl 07881926 Chaos 33, No. 3, Article ID 033138, 9 p. (2023). MSC: 37-XX 34-XX × Cite Format Result Cite Review PDF Full Text: DOI
Goracci, Greta; Giannerini, Simone; Chan, Kung-Sik; Tong, Howell Testing for threshold effects in the TARMA framework. (English) Zbl 07769926 Stat. Sin. 33, No. 3, 1879-1901 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Meitz, Mika; Preve, Daniel; Saikkonen, Pentti A mixture autoregressive model based on Student’s \(t\)-distribution. (English) Zbl 07649581 Commun. Stat., Theory Methods 52, No. 2, 499-515 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Neto, Alberto Ronchi; Candido, Osvaldo What does Google say about credit developments in Brazil? (English) Zbl 07681742 Stud. Nonlinear Dyn. Econom. 26, No. 4, 499-527 (2022). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Wen-Hsiu Nonlinear relationship between household composition and electricity consumption: optimal threshold models. (English) Zbl 07627116 Optim. Eng. 23, No. 4, 2261-2292 (2022). MSC: 62Pxx 62Mxx 90Cxx × Cite Format Result Cite Review PDF Full Text: DOI
Li, Dong; Li, Muyi; Zeng, Lianbin Simulation and application of subsampling for threshold autoregressive moving-average models. (English) Zbl 07545855 Commun. Stat., Simulation Comput. 51, No. 5, 2110-2121 (2022). MSC: 62F25 62G09 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Kunhui; Safikhani, Abolfazl; Tank, Alex; Shojaie, Ali Penalized estimation of threshold auto-regressive models with many components and thresholds. (English) Zbl 07524966 Electron. J. Stat. 16, No. 1, 1891-1951 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI Link
Kottas, Athanasios; Heiner, Matthew Autoregressive density modeling with the Gaussian process mixture transition distribution. (English) Zbl 1484.60080 J. Time Ser. Anal. 43, No. 2, 157-177 (2022). MSC: 60J20 60J35 62M09 62M10 37N25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mao, Yinan; Wang, Xueou; Nott, David J.; Evans, Michael Detecting conflicting summary statistics in likelihood-free inference. (English) Zbl 1475.62049 Stat. Comput. 31, No. 6, Paper No. 78, 20 p. (2021). MSC: 62-08 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes. (English) Zbl 1479.91386 Quant. Finance 21, No. 5, 729-752 (2021). MSC: 91G15 60G55 × Cite Format Result Cite Review PDF Full Text: DOI
Goracci, Greta An empirical study on the parsimony and descriptive power of TARMA models. (English) Zbl 1478.62254 Stat. Methods Appl. 30, No. 1, 109-137 (2021). MSC: 62M10 62P20 62P35 85A25 × Cite Format Result Cite Review PDF Full Text: DOI
Czechowski, Zbigniew Discrete Langevin-type equation for \(p\)-order persistent time series and procedure of its reconstruction. (English) Zbl 1465.37091 Chaos 31, No. 6, Article ID 063102, 11 p. (2021). MSC: 37M10 37H10 × Cite Format Result Cite Review PDF Full Text: DOI
Das, Srinjoy; Politis, Dimitris N. Predictive inference for locally stationary time series with an application to climate data. (English) Zbl 1464.62379 J. Am. Stat. Assoc. 116, No. 534, 919-934 (2021). MSC: 62M10 62M20 62P12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Goracci, Greta Revisiting the Canadian lynx time series analysis through TARMA models. (English) Zbl 07690406 Statistica 80, No. 4, 357-394 (2020). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Rubaszek, Michal; Karolak, Zuzanna; Kwas, Marek; Uddin, Gazi Salah The role of the threshold effect for the dynamics of futures and spot prices of energy commodities. (English) Zbl 07675537 Stud. Nonlinear Dyn. Econom. 24, No. 5, Article ID 20190068, 20 p. (2020). MSC: 62-XX 91-XX × Cite Format Result Cite Review PDF Full Text: DOI
Lejay, Antoine; Pigato, Paolo Maximum likelihood drift estimation for a threshold diffusion. (English) Zbl 1472.62078 Scand. J. Stat. 47, No. 3, 609-637 (2020). Reviewer: Tiago Magalhães (Juiz de Fora) MSC: 62H12 60J60 60J65 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Dong; Qiu, Jiaming The marginal density of a TMA(1) process. (English) Zbl 1443.62276 J. Time Ser. Anal. 41, No. 3, 476-484 (2020). MSC: 62M10 62-08 60H20 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Das, Soumya; Genton, Marc G. On the stationary marginal distributions of subclasses of multivariate setar processes of order one. (English) Zbl 1446.62241 J. Time Ser. Anal. 41, No. 3, 406-420 (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 62M10 60G10 62J02 62H05 62H10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yang, Yaxing; Li, Dong Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models. (English) Zbl 1442.62107 J. Time Ser. Anal. 41, No. 1, 163-172 (2020). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62G32 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Guo, Feifei; Ling, Shiqing Quasi-likelihood estimation of structure-changed threshold double autoregressive models. (English) Zbl 1437.62331 J. Stat. Plann. Inference 205, 138-155 (2020). MSC: 62M10 62E20 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Ting-Hung; Tsai, Henghsiu; Rachinger, Heiko Approximate maximum likelihood estimation of a threshold diffusion process. (English) Zbl 1507.62198 Comput. Stat. Data Anal. 142, Article ID 106823, 14 p. (2020). MSC: 62-08 62M05 60J60 62F12 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Su, Liangjun; Xu, Pai Common threshold in quantile regressions with an application to pricing for reputation. (English) Zbl 1490.62483 Econom. Rev. 38, No. 4, 417-450 (2019). MSC: 62P20 62M10 62F12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Li, Yuanbo; Zheng, Xunze; Yau, Chun Yip Generalized threshold latent variable model. (English) Zbl 1427.62100 Electron. J. Stat. 13, No. 1, 2043-2092 (2019). Reviewer: Alessandro Selvitella (Fort Wayne) MSC: 62M10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Lejay, Antoine; Pigato, Paolo A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (English) Zbl 1411.91645 Int. J. Theor. Appl. Finance 22, No. 4, Article ID 1950017, 24 p. (2019). MSC: 91G99 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. A hidden Markov regime-switching smooth transition model. (English) Zbl 1507.62283 Stud. Nonlinear Dyn. Econom. 22, No. 4, Article ID 20160061, 21 p. (2018). MSC: 62M10 62M05 62M20 62P20 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Chong, Terence Tai-Leung; Chen, Haiqiang; Wong, Tsz-Nga; Yan, Isabel Kit-Ming Estimation and inference of threshold regression models with measurement errors. (English) Zbl 1507.62281 Stud. Nonlinear Dyn. Econom. 22, No. 2, Article ID 20140032, 16 p. (2018). MSC: 62M10 62H12 62F12 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Donayre, Luiggi; Eo, Yunjong; Morley, James Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples. (English) Zbl 1507.62239 Stud. Nonlinear Dyn. Econom. 22, No. 1, Article ID 20160084, 11 p. (2018). MSC: 62F25 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Han; Yang, Kai; Zhao, Shishun; Wang, Dehui First-order random coefficients integer-valued threshold autoregressive processes. (English) Zbl 1421.62125 AStA, Adv. Stat. Anal. 102, No. 3, 305-331 (2018). MSC: 62M10 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Kai; Wang, Dehui; Jia, Boting; Li, Han An integer-valued threshold autoregressive process based on negative binomial thinning. (English) Zbl 1415.62068 Stat. Pap. 59, No. 3, 1131-1160 (2018). Reviewer: Romeo Negrea (Timişoara) MSC: 62M10 62F12 62P12 62P35 × Cite Format Result Cite Review PDF Full Text: DOI
Ahmed, Muhammad Farid; Satchell, Stephen What proportion of time is a particular market inefficient? … A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions. (English) Zbl 1462.62713 J. Time Ser. Econom. 10, No. 2, Article ID 20160021, 22 p. (2018). MSC: 62P20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Ping; Phillips, Peter C. B. Threshold regression with endogeneity. (English) Zbl 1386.62077 J. Econom. 203, No. 1, 50-68 (2018). MSC: 62P20 62G08 62G07 62G20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. Buffered autoregressive models with conditional heteroscedasticity: an application to exchange rates. (English) Zbl 07924127 J. Bus. Econ. Stat. 35, No. 4, 528-542 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Chan, Ngai Hang; Ing, Ching-Kang; Li, Yuanbo; Yau, Chun Yip Threshold estimation via group orthogonal greedy algorithm. (English) Zbl 07924114 J. Bus. Econ. Stat. 35, No. 2, 334-345 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Yaxing; Ling, Shiqing Inference for heavy-tailed and multiple-threshold double autoregressive models. (English) Zbl 07924113 J. Bus. Econ. Stat. 35, No. 2, 318-333 (2017). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Chan, Kung-Sik (ed.); Hansen, Bruce E. (ed.); Timmermann, Allan (ed.) Guest editors’ introduction: regime switching and threshold models. (English) Zbl 07924102 J. Bus. Econ. Stat. 35, No. 2, 159-161 (2017). MSC: 00B15 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Wegener, Michael; Kauermann, Göran Forecasting in nonlinear univariate time series using penalized splines. (English) Zbl 1383.62208 Stat. Pap. 58, No. 3, 557-576 (2017). Reviewer: Miroslav M. Ristić (Niš) MSC: 62M10 62G08 62M20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Perera, Indeewara; Koul, Hira L. Fitting a two phase threshold multiplicative error model. (English) Zbl 1422.62165 J. Econom. 197, No. 2, 348-367 (2017). MSC: 62G10 62G20 62M10 91B84 91G70 60F17 × Cite Format Result Cite Review PDF Full Text: DOI
Ahmad, Yamin; Donayre, Luiggi Outliers and persistence in threshold autoregressive processes. (English) Zbl 1507.62354 Stud. Nonlinear Dyn. Econom. 20, No. 1, 37-56 (2016). MSC: 62P20 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Pastpipatkul, P.; Sriboonchitta, S.; Yamaka, W. A Bayesian change point with regime switching model. (English) Zbl 1474.91082 Thai J. Math., Spec. Iss. on applied mathematics: Bayesian econometrics, 83-99 (2016). MSC: 91B39 91B38 × Cite Format Result Cite Review PDF Full Text: Link
Möller, Tobias A.; Silva, Maria Eduarda; Weiß, Christian H.; Scotto, Manuel G.; Pereira, Isabel Self-exciting threshold binomial autoregressive processes. (English) Zbl 1443.62280 AStA, Adv. Stat. Anal. 100, No. 4, 369-400 (2016). MSC: 62M10 62F10 62P10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Pan, Li; Politis, Dimitris N. Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions. (English) Zbl 1353.62101 J. Stat. Plann. Inference 177, 1-27 (2016). MSC: 62M10 62G09 × Cite Format Result Cite Review PDF Full Text: DOI
Möller, Tobias A. Self-exciting threshold models for time series of counts with a finite range. (English) Zbl 1345.60080 Stoch. Models 32, No. 1, 77-98 (2016). MSC: 60J10 62M10 62M05 × Cite Format Result Cite Review PDF Full Text: DOI
Rodrigues, Paulo M. M.; Salish, Nazarii Modeling and forecasting interval time series with threshold models. (English) Zbl 1414.62076 Adv. Data Anal. Classif., ADAC 9, No. 1, 41-57 (2015). MSC: 62F10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Niglio, Marcella; Vitale, Cosimo Damiano Threshold vector ARMA models. (English) Zbl 1332.62334 Commun. Stat., Theory Methods 44, No. 14, 2911-2923 (2015). MSC: 62M10 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Tong, Howell Threshold models in time series analysis – some reflections. (English) Zbl 1337.62281 J. Econom. 189, No. 2, 485-491 (2015). MSC: 62M10 62P20 62-02 65C60 91-02 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Ping Adaptive estimation of the threshold point in threshold regression. (English) Zbl 1337.62066 J. Econom. 189, No. 1, 83-100 (2015). MSC: 62G05 62F12 62C12 62P20 91B62 × Cite Format Result Cite Review PDF Full Text: DOI
Kalliovirta, Leena; Meitz, Mika; Saikkonen, Pentti A Gaussian mixture autoregressive model for univariate time series. (English) Zbl 1320.62201 J. Time Ser. Anal. 36, No. 2, 247-266 (2015). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp A simple specification procedure for the transition function in persistent nonlinear time series models. (English) Zbl 1407.62317 Ma, Jun (ed.) et al., Recent advances in estimating nonlinear models. With applications in economics and finance. New York, NY: Springer. 169-191 (2014). MSC: 62M10 62M07 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Greb, Friederike; Krivobokova, Tatyana; Munk, Axel; von Cramon-Taubadel, Stephan Regularized Bayesian estimation of generalized threshold regression models. (English) Zbl 1327.62394 Bayesian Anal. 9, No. 1, 171-196 (2014). MSC: 62J02 62F15 62C12 62P10 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Lieberman, Offer; Phillips, Peter C. B. Norming rates and limit theory for some time-varying coefficient autoregressions. (English) Zbl 1311.62148 J. Time Ser. Anal. 35, No. 6, 592-623 (2014). MSC: 62M10 62M07 60G50 62F12 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yu, Ping The bootstrap in threshold regression. (English) Zbl 1296.62100 Econom. Theory 30, No. 3 (2014). MSC: 62G09 62G20 62P20 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Pinson, Pierre Wind energy: forecasting challenges for its operational management. (English) Zbl 1331.91140 Stat. Sci. 28, No. 4, 564-585 (2013). MSC: 91B84 62M10 62M20 91B76 91B82 62P12 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Chigansky, P.; Kutoyants, Yu. A. Estimation in threshold autoregressive models with correlated innovations. (English) Zbl 1273.62207 Ann. Inst. Stat. Math. 65, No. 5, 959-992 (2013). MSC: 62M10 62F12 62F15 62E20 62E10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Dong; Ling, Shiqing; Li, Wai Keung Asymptotic theory on the least squares estimation of threshold moving-average models. (English) Zbl 1274.62604 Econom. Theory 29, No. 3, 482-516 (2013). MSC: 62M10 62J05 62F40 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Dong; Ling, Shiqing On the least squares estimation of multiple-regime threshold autoregressive models. (English) Zbl 1441.62795 J. Econom. 167, No. 1, 240-253 (2012). MSC: 62P20 62M10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Chigansky, P.; Kutoyants, Yu. A. On nonlinear TAR processes and threshold estimation. (English) Zbl 1325.62102 Math. Methods Stat. 21, No. 2, 142-152 (2012). MSC: 62G30 62M10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Tang, Qihe; Yuan, Zhongyi A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization. (English) Zbl 1291.91128 N. Am. Actuar. J. 16, No. 3, 378-397 (2012). MSC: 91B30 62M10 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Xiao-Hua; Li, Yu-Qi DNA optimization threshold autoregressive prediction model and its application in ice condition time series. (English) Zbl 1264.62088 Math. Probl. Eng. 2012, Article ID 191902, 10 p. (2012). MSC: 62M20 62P10 62M10 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Tong, Howell Discussion of ‘An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models’ by Battaglia and Protopapas. (English) Zbl 1255.86021 Stat. Methods Appl. 21, No. 3, 335-339 (2012). MSC: 86A32 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Dong; Ling, Shiqing; Tong, Howell On moving-average models with feedback. (English) Zbl 1456.62204 Bernoulli 18, No. 2, 735-745 (2012). MSC: 62M10 60G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid