A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables

A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables

In this paper, a time-varying first-order mixture integer-valued threshold autoregressive process driven by explanatory variables is introduced. The basic probabilistic and statistical properties of this model are studied in depth. We proceed to derive estimators using the conditional least squares...

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Bibliographic Details
Main Authors: Danshu Sheng, Dehui Wang, Jie Zhang, Xinyang Wang, Yiran Zhai
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Entropy
Subjects:
threshold integer-valued autoregressive models
mixture thinning operator
parameter estimation
Wald test
explanatory variables
Online Access:https://www.mdpi.com/1099-4300/26/2/140

Internet

https://www.mdpi.com/1099-4300/26/2/140

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