Predictive recursion maximum likelihood of threshold autoregressive model

Predictive recursion maximum likelihood of threshold autoregressive model

© Springer International Publishing AG 2017. In the threshold model, it is often the case that an error distribution is not easy to specify, especially when the error has a mixture distribution. In such a situation, standard estimation yields biased results. Thus, this paper proposes a flexible semi...

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Main Authors:	Pathairat Pastpipatkul, Woraphon Yamaka, Songsak Sriboonchitta
格式:	Book Series
出版:	2018
主題:	Computer Science
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012910184&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57114
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