1986/05/01 by K. S. Chan, Kung‐Sik Chan, H. Tong · 567 citations
Engineering · Mathematics · #Advanced Statistical Methods and Models #Applied mathematics #Autoregressive integrated moving average #Autoregressive model #Control Systems and Identification #Econometrics #Least-squares function approximation #Mathematical analysis #Mathematics #SETAR #STAR model #Smoothness #Statistical Methods and Inference #Statistics #Threshold model #Time series
paper · doi:10.1111/j.1467-9892.1986.tb00501.x
published in Journal of Time Series Analysis 7(3), 179-190 (Wiley)
crossref issued 1986/05/01 · crossref published 1986/05/01 · crossref published-print 1986/05/01 · openalex publication_date 1986/05/01 · crossref published-online 2008/05/14 · crossref created 2008/05/14 · crossref deposited 2025/01/30 · openalex created_date 2025/10/10 · crossref indexed 2026/08/05 · openalex updated_date 2026/08/06
Abstract. 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.