ABSTRACT. In this paper we derive quasi-maximum likelihood estimators for the parameters of the threshold autoregressive moving average process (TARMA). After the presentation of the model, we discuss some property that makes this model of interest in most empirical domains. The derivation of the estimators is proposed in details and computational issues are examined in a simulation study.
Quasi-maximum likelihood estimators for Threshold ARMA models: theoretical results and computational issues
NIGLIO, Marcella;VITALE, Cosimo Damiano
2010-01-01
Abstract
ABSTRACT. In this paper we derive quasi-maximum likelihood estimators for the parameters of the threshold autoregressive moving average process (TARMA). After the presentation of the model, we discuss some property that makes this model of interest in most empirical domains. The derivation of the estimators is proposed in details and computational issues are examined in a simulation study.File in questo prodotto:
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