On continuous-time threshold autoregression-Reference-Cited by-同舟云学术

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On continuous-time threshold autoregression

Published:1992-10 Issue:2 Volume:8 Page:157-173
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Brockwell P.J.,Hyndman R.J.

Publisher

Elsevier BV

Subject

Business and International Management

Reference13 articles.

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

2. Continuous time threshold autoregressive models;Brockwell;Statistica Sinica,1991

3. A multiple threshold AR(1) model;Chan;Journal of Applied Probability,1985

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

5. Fitting a continuous time autoregression to discrete data;Jones,1981

Cited by 32 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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

2. Modified trajectory fitting estimators for multi‐regime threshold Ornstein–Uhlenbeck processes;Stat;2023-01

3. Parameter estimation for threshold Ornstein–Uhlenbeck processes from discrete observations;Journal of Computational and Applied Mathematics;2022-09

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

5. Approximate maximum likelihood estimation of a threshold diffusion process;Computational Statistics & Data Analysis;2020-02

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