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On continuous-time threshold ARMA processes

Published:1994-04 Issue:2 Volume:39 Page:291-303
ISSN:0378-3758
Container-title:Journal of Statistical Planning and Inference
language:en
Short-container-title:Journal of Statistical Planning and Inference

Author:

Brockwell P.J.

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Time Series: Theory and Methods;Brockwell,1991

2. On continuous time threshold autoregression;Brockwell;Internat. J. Forecasting,1992

3. A multiple threshold AR(1) model;Chan;J. Appl. Probab.,1985

4. Introduction to the Theory of Random Processes;Gikhman,1969

5. Fitting Continuous time autogression to discrete data;Jones,1981

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1. Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes;Journal of Theoretical Probability;2024-06-21

2. Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets;Scandinavian Journal of Statistics;2022-05-18

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