Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
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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