THRESHOLD AUTOREGRESSIVE MODELLING IN CONTINUOUS TIME
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 411-430 |
| Journal / Publication | Statistica Sinica |
| Volume | 1 |
| Issue number | 2 |
| Publication status | Published - Jul 1991 |
Link(s)
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(45894808-0942-4e02-9406-973ac823b773).html |
|---|
Abstract
We have developed a procedure for identifying continuous time, self-exciting, threshold, autoregressive models and applied the procedure to several real data sets. The performance of the fitted threshold models to real data is discussed and compared with that of the fitted linear models.
Research Area(s)
- Continuous time models, dissolved oxygen content, Hang Seng Index, IBM stock price, kalman filter, lynx, Self-exciting threshold autoregression, State space, unequally spaced data
Bibliographic Note
Research Unit(s) information for this publication is provided by the author(s) concerned.
Citation Format(s)
THRESHOLD AUTOREGRESSIVE MODELLING IN CONTINUOUS TIME. / Tong, Howell; Yeung, Iris.
In: Statistica Sinica, Vol. 1, No. 2, 07.1991, p. 411-430.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
