On threshold autoregressive processes

Jiří Anděl; Ivan Netuka; Karel Zvára

Kybernetika (1984)

  • Volume: 20, Issue: 2, page 89-106
  • ISSN: 0023-5954

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Anděl, Jiří, Netuka, Ivan, and Zvára, Karel. "On threshold autoregressive processes." Kybernetika 20.2 (1984): 89-106. <http://eudml.org/doc/27648>.

@article{Anděl1984,
author = {Anděl, Jiří, Netuka, Ivan, Zvára, Karel},
journal = {Kybernetika},
keywords = {Gaussian innovations; exact solution; limit distribution; Markov approximation; threshold autoregressive process; stationary distribution; correlation function},
language = {eng},
number = {2},
pages = {89-106},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On threshold autoregressive processes},
url = {http://eudml.org/doc/27648},
volume = {20},
year = {1984},
}

TY - JOUR
AU - Anděl, Jiří
AU - Netuka, Ivan
AU - Zvára, Karel
TI - On threshold autoregressive processes
JO - Kybernetika
PY - 1984
PB - Institute of Information Theory and Automation AS CR
VL - 20
IS - 2
SP - 89
EP - 106
LA - eng
KW - Gaussian innovations; exact solution; limit distribution; Markov approximation; threshold autoregressive process; stationary distribution; correlation function
UR - http://eudml.org/doc/27648
ER -

References

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  1. H. Akaike, A new look at the statistical model identfication, IEEE Trans. Automat. Control AC-19 (1974), 716-723. (1974) MR0423716
  2. J. Anděl, Fitting models in time series analysis, Math. Operationsforsch. Statist., Ser. Statistics 13 (1982), 121-143. (1982) MR0665069
  3. J. Anděl, Marginal distributions of autoregressive processes, In: Trans. 9th Prague Conf. Inform. Theory etc., Vol. A, Academia, Prague 1983, pp. 127- 135. (1983) MR0757732
  4. J. Anděl, Dependent random variables with a given marginal distribution, Acta Univ. Carolinae. Math.-and Phys. 24 (1983), 3-12. (1983) MR0733140
  5. J. Anděl, T. Cipra, Prahové modely, (výzkumná zpráva) [Threshold Models (Technical Report)]. Institut hygieny a epidemiologie, Praha 1982. (1982) 
  6. C. W. J. Granger, A. P. Anderson, An Introduction to Bilinear Time Series Models, Vandenhoeck and Ruprecht, Gottingen 1978. (1978) MR0483231
  7. D. L. Doob, Stochastic Processes, Wiley, New York 1953. (1953) Zbl0053.26802MR0058896
  8. V. Haggan, T. Ozaki, Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model, Biometrika 68 (1981), 189-196. (1981) Zbl0462.62070MR0614955
  9. D. A. Jones, Non-linear Autoregressive Processes, Unpublished Ph. D. Thesis, Univ. of London 1976. (1976) 
  10. D. A. Jones, Stationarity of Non-linear Autoregressive Processes, Technical Report, Institute of Hydrology, Wallingford, Oxon, U.K. 1977. (1977) 
  11. D. A. Jones, The Statistical Treatment of Non-linear Autoregressive Processes, Technical Report, Institute of Hydrology, Wallingford, Oxon, U. K. 1977. (1977) 
  12. D. A. Jones, Nonlinear autoregressive processes, Proc. Roy. Soc. London Ser. A 360 (1978), 71-95. (1978) Zbl0378.62076MR0501672
  13. T. Ozaki, Non-linear threshold autoregressive models for non-linear random vibrations, J. Appl. Prob. 18 (1981), 443-451. (1981) Zbl0459.73077
  14. T. Ozaki, H. Oda, Non-linear time series model identification by Akaike's information criterion, In: Information and Systems (B. Dubuisson, ed.), Pergamon Press, Oxford 1978. (1978) 
  15. J. Pemberton, H. Tong, A Note on the Distributions of Non-linear Autoregressive Stochastic Processes, Technical Report 132, Dept. of Statist., Univ. of Manchester 1980. (1980) 
  16. J. Pemberton, H. Tong, Frequency-domain Analysis of Non-linear Systems Through Threshold Autoregression, Technical Report 140, Dept. of Statist., Univ. of Manchester 1981. (1981) 
  17. H. Tong, On a threshold model, In: Pattern Recognition and Signal Processing (C. H. Chen, ed.), Sijthoffand Noordhoff, Amsterdam 1978, pp. 575-586. (1978) 
  18. H. Tong, A view on non-linear time series model building, In: Time Series (Proc. Int. Conf. Nottingham Univ. 1979,0. D. Anderson, ed.), North Holland, Amsterdam 1980, pp. 41- 56. (1979) MR0593326
  19. H. Tong, On the Structure of Threshold Time Series Models, Technical Report 134, Dept. of Statist., Univ. of Manchester 1980. (1980) 

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