Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
Year of publication: |
2013-12
|
---|---|
Authors: | Li, Dong ; Ling, Shiqing ; Zakoian, Jean-Michel |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
Subject: | Compound Poisson process | Ergodicity | Quasi-maximum likelihood estimation | Strict stationarity | MTDAR model | Score test |
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