AN AUTOMATIC PROCEDURE FOR IDENTIFICATION, ESTIMATION AND FORECASTING UNIVARIATE SELF EXITING THRESHOLD AUTOREGRESSIVE MODELS

被引:13
作者
DAVIES, N
PEMBERTON, J
PETRUCCELLI, JD
机构
[1] TRENT POLYTECH,NOTTINGHAM NG1 4BU,ENGLAND
[2] UNIV SALFORD,SALFORD M5 4WT,LANCS,ENGLAND
[3] WORCESTER POLYTECH INST,WORCESTER,MA 01609
来源
STATISTICIAN | 1988年 / 37卷 / 02期
关键词
D O I
10.2307/2348693
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
引用
收藏
页码:199 / 204
页数:6
相关论文
共 6 条
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[Anonymous], J TIME SERIES ANAL
[2]  
Jones D.A, 1976, THESIS U LONDON
[3]   NON-LINEAR AUTOREGRESSIVE PROCESSES [J].
JONES, DA .
PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 1978, 360 (1700) :71-95
[4]  
PETRUCCELLI JD, 1986, BIOMETRIKA, V73, P687
[5]  
TONG H, 1983, LECTURE NOTES STATIS, V21
[6]  
TONG H, 1987, JUL IOS C CAMBR