Threshold Models in Time Series Analysis-30 Years On
Threshold Models in Time Series Analysis-30 Years On
复制标题
DOI：
10.4310/sii.2011.v4.n2.a1
复制
发表时间：
2011
影响因子：
0.8
通讯作者：
H. Tong
中科院分区：
文献类型：
--
作者：
H. Tong
本文对时间序列分析中门限模型的发展进行了选择性的回顾。首先，它重新审视了模型的动机。接下来，它描述了模型的各种表达式，强调了它们的基本原理以及主要的概率和统计特性。最后，在列举了阈值模型的一些最新成果后，总结了阈值波动性的一些研究进展。
This paper is a selective review of the development of the threshold model in time series analysis over the past 30 years or so. First, it re-visits the motivation of the model. Next, it describes the various expressions of the model, highlighting the principle underlying them and the main probabilistic and statistical properties. Finally, after listing some of the recent offsprings of the threshold model, it finishes with some on-going research in the context of threshold volatility.