This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.

The moments of SETARMA models

AMENDOLA, Alessandra;NIGLIO, Marcella;VITALE, Cosimo Damiano
2006-01-01

Abstract

This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/1634230
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