摘要
This paper investigates the quasi-maximum likelihood estimator (QMLE) of the structure-changed and two-regime threshold double autoregressive model. It is shown that both the estimated threshold and change-point are n-consistent, and they converge weakly to the smallest minimizer of a compound Poisson process and the location of minima of a two-sided random walk, respectively. Other estimated parameters are n−consistent and asymptotically normal. The performance of the QMLE is assessed via simulation studies and a real example is given to illustrate our procedure.
源语言 | 英语 |
---|---|
页(从-至) | 138-155 |
页数 | 18 |
期刊 | Journal of Statistical Planning and Inference |
卷 | 205 |
DOI | |
出版状态 | 已出版 - 3月 2020 |
已对外发布 | 是 |
指纹
探究 'Quasi-likelihood estimation of structure-changed threshold double autoregressive models' 的科研主题。它们共同构成独一无二的指纹。引用此
Guo, F., & Ling, S. (2020). Quasi-likelihood estimation of structure-changed threshold double autoregressive models. Journal of Statistical Planning and Inference, 205, 138-155. https://doi.org/10.1016/j.jspi.2019.06.008