The moments of SETARMA models

被引：9

作者：

Amendola, A ^{[1
]}

Niglio, M ^{[1
]}

Vitale, C ^{[1
]}

机构：

[1] Univ Salerno, DiSES, I-84084 Fisciano, SA, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 06期

关键词：

moments; SETARMA model; skewness; kurtosis; model selection;

D O I：

10.1016/j.spl.2005.09.016

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：

This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：625 / 633

页数：9

共 9 条

[1] LIKELIHOOD OF A TIME-SERIES MODEL [J].