Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul, Woraphon Yamaka and Songsak Sriboonchitta
| Year of publication: |
[2017]
|
|---|---|
| Authors: | Pathairat Pastpipatkul ; Woraphon Yamaka ; Songsak Sriboonchitta |
| Published in: |
Robustness in econometrics. - Cham : Springer, ISBN 978-3-319-50741-5. - 2017, p. 349-362
|
| Subject: | Threshold autoregressive | PR-EM algorithm | Predictive recursion marginal likelihood | Stock market | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Börsenkurs | Share price | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Aktienmarkt | Zeitreihenanalyse | Time series analysis | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-50742-2_21 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011801427