Hou, Zhenting; Yu, Zheng; Shi, Peng - In: Computational Statistics 61 (2005) 2, pp. 299-310
In this paper, we study the problem of a variety of nonlinear threshold autoregressive model X n +1 =ϕ(X n )+ɛ n +1 (Z n +1 ) in which {Z n } is a Markov chain with finite state space, and for every state i of the Markov chain, {ɛ n (i)} is a sequence of independent and identically...