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題名 | Continuous Time Threshold Autoregressive Models= |
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作者 | Brockwell,Peter J.; Hyndman,Rob J.; Grunwald,Gary K.; |
期刊 | Statistica Sinica |
出版日期 | 19910700 |
卷期 | 1:2 1991.07[民80.07] |
頁次 | 頁401-410 |
分類號 | 319.51 |
語文 | eng |
關鍵詞 | 連續時間; 閾自迴歸模式; 非線性模式; 平穩分布; Non-linear model; Stationary distribution; Prediction; Gaussian likelihood; |
英文摘要 | The importance of non-linear models in time series analysis has been recognized increasingly over the past ten years. A number of discrete time non-linear processes have been introduced and found valuable for the modelling of observed series. Among these processes are the discrete time threshold models, discussed extensively in the book of Tong (1983). The purpose of this paper is to define a continuous time analogue of the threshold AR(p) process and to discuss some of its properties. For the continuous time threshold AR(1) process (henceforth denoted CTAR(1)) we derive the stationary distribution (under appropriate assumptions) and consider problems of prediction and inference. The techniques developed apply equally well both to regularly and to irregularly spaced observations. |
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