333 research outputs found
Estimation in threshold autoregressive models with correlated innovations
Large sample statistical analysis of threshold autoregressive (TAR) models is
usually based on the assumption that the underlying driving noise is
uncorrelated. In this paper, we consider a model, driven by Gaussian noise with
geometric correlation tail and derive a complete characterization of the
asymptotic distribution for the Bayes estimator of the threshold parameter.Comment: to appear in Ann. Inst. Stat. Mat
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