Threshold Estimation in Threshold Autoregression
One of the most important models to describe nonlinear time series is that of the threshold auto-regression. In solving a problem of the threshold autoregressive model identification, there is a need to estimate the threshold value. The most common method for estimating the threshold is a least-squa...
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| Format: | Article |
| Language: | Russian |
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MGTU im. N.È. Baumana
2017-11-01
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| Series: | Matematika i Matematičeskoe Modelirovanie |
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| Online Access: | https://www.mathmelpub.ru/jour/article/view/81 |