Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
Sign Up to like & getrecommendations! Published in 2018 at "Applied Mathematical Modelling"
DOI: 10.1016/j.apm.2018.01.003
Abstract: Abstract To better describe the characteristics of time series of counts such as over-dispersion, asymmetry and structural change, this paper considers a class of integer-valued self-exciting threshold autoregressive processes that properly capture flexible asymmetric and… read more here.
Keywords: exciting threshold; time series; series counts; autoregressive processes ... See more keywords
LASSO estimation for spherical autoregressive processes
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DOI: 10.1016/j.spa.2021.03.009
Abstract: The purpose of the present paper is to investigate on a class of spherical functional autoregressive processes in order to introduce and study LASSO (Least Absolute Shrinkage and Selection Operator) type estimators for the corresponding… read more here.
Keywords: lasso estimation; spherical autoregressive; autoregressive processes; estimation spherical ... See more keywords
Consistency Results for Stationary Autoregressive Processes With Constrained Coefficients
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DOI: 10.1109/tit.2018.2870373
Abstract: We consider stationary autoregressive processes with coefficients restricted to an ellipsoid. These are included in the family of autoregressive processes with absolutely summable coefficients. We provide consistency results under different norms for the estimation of… read more here.
Keywords: consistency; stationary autoregressive; results stationary; autoregressive processes ... See more keywords