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Non-linear systems / Stochastic processes / Noise / STAR model / Autoregressive conditional heteroskedasticity / Threshold model / Akaike information criterion / Moving-average model / Maximum likelihood / Statistics / Time series analysis / Estimation theory


RESEARCH REPORT Serial No. 507 November 2013 THRESHOLD MODELS IN TIME SERIES ANALYSIS-SOME REFLECTIONS
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Document Date: 2013-11-05 06:18:22

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Company

the STAR / /

Country

United States / /

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Facility

Howell Tong THE UNIVERSITY OF HONG KONG DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE Pokfulam Road / /

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IndustryTerm

on-line detection / numerical device / /

Organization

London School of Economics / UNIVERSITY OF HONG KONG / Royal Statistical Society in London / Research Committee / /

Person

THRESHOLD MODELS / Howell Tong / Ozaki / Chan / Xia / /

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Position

first author / model in time series analysis / model / exponential autoregressive model / Markov switching model / /

ProvinceOrState

Nova Scotia / New Foundland and Labrador / /

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