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Details for article 2 of 15 found articles
| Title: |
Adaptive parameter estimation in self-exciting threshold autoregressive models |
| Author: |
Arnold, Matthias Gunther, Roland |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 27 (1998) nr. 4 pages 921-936 |
| Year: |
1998 |
| Contents: |
In this paper we present a recursive stochastic gradient procedure for the estimation of coefficient in self-exciting threshold autoregressive models with arbitrary order and multiple thresholds. Sufficient conditions which guarantee almost sure convergence of the estimates to the true parameter vector are derived. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 2 of 15 found articles
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