期刊
BIOMETRIKA
卷 102, 期 3, 页码 717-723出版社
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asv017
关键词
Autoregression; Conditional least squares; Geometric ergodicity; Hysteresis; Threshold model
资金
- Hong Kong Research Grants Council
This paper extends the classical two-regime threshold autoregressive model by introducing hysteresis to its regime-switching structure, which leads to a new model: the hysteretic autoregressive model. The proposed model enjoys the piecewise linear structure of a threshold model but has a more flexible regime switching mechanism. A sufficient condition is given for geometric ergodicity. Conditional least squares estimation is discussed, and the asymptotic distributions of its estimators and information criteria for model selection are derived. Simulation results and an example support the model.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据