Abstract
Abstract. The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least‐squares estimate may be obtained. Artificial and real data are used for illustrations. Copyright © 1986, Wiley Blackwell. All rights reserved
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APA
Chan, K. S., & Tong, H. (1986). ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS. Journal of Time Series Analysis, 7(3), 179–190. https://doi.org/10.1111/j.1467-9892.1986.tb00501.x
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