A note on the consistency of a robust estimator for threshold autoregressive processes
Publication in refereed journal


香港中文大学研究人员 ( 现职)

张立新博士 (统计学系)

张绍洪教授 (统计学系)

陈伟森教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.spl.2008.10.036

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL

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摘要The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., http://aims.cuhk.edu.hk/converis/portal/Publication/1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 2http://aims.cuhk.edu.hk/converis/portal/Publication/1, 520-533]. In this note we consider a general class of robust estimators for threshold autoregressive models, and under some regularity conditions and a proper choice of the weight function, the consistency is demonstrated. (c) 2008 Elsevier B.V. All rights reserved.

着者Zhang LX, Chan WS, Cheung SH, Hung KC
期刊名称Statistics and Probability Letters
出版年份2009
月份3
日期http://aims.cuhk.edu.hk/converis/portal/Publication/15
卷号79
期次6
出版社Elsevier
页次807 - 8http://aims.cuhk.edu.hk/converis/portal/Publication/13
国际标準期刊号0http://aims.cuhk.edu.hk/converis/portal/Publication/167-7http://aims.cuhk.edu.hk/converis/portal/Publication/152
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1879-2http://aims.cuhk.edu.hk/converis/portal/Publication/103
语言英式英语

Web of Science 学科类别Mathematics; Statistics & Probability; STATISTICS & PROBABILITY