CONSISTENCY AND LIMITING DISTRIBUTION OF THE LEAST-SQUARES ESTIMATOR OF A THRESHOLD AUTOREGRESSIVE MODEL
CONSISTENCY AND LIMITING DISTRIBUTION OF THE LEAST-SQUARES ESTIMATOR OF A THRESHOLD AUTOREGRESSIVE MODEL
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DOI：
10.1214/aos/1176349040
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发表时间：
1993-03-01
影响因子：
4.5
通讯作者：
CHAN, KS
中科院分区：
文献类型：
--
作者：
CHAN, KS
结果表明，在一定的正则性条件下，平稳遍历阈值自回归模型的最小二乘估计是强相合的。导出了最小二乘估计量的极限分布。结果表明，阈值参数的估计量是N一致的，其极限分布与复合泊松过程有关。
It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson process.