In the present contribution, we propose a link between Threshold Autoregressive Moving Average (TARMA) and Time-Dependent ARMA (tdARMA) models.We show that a proper parametrization allows to include the TARMA model in the large class of tdARMA structures. The main advantage that can be obtained from this result is the derivation of the asymptotic properties of the estimators of TARMA parameters that can be obtained under weaker conditions with respect to those in the available literature.

Link between Threshold ARMA and tdARMA models

Marcella niglio
2021

Abstract

In the present contribution, we propose a link between Threshold Autoregressive Moving Average (TARMA) and Time-Dependent ARMA (tdARMA) models.We show that a proper parametrization allows to include the TARMA model in the large class of tdARMA structures. The main advantage that can be obtained from this result is the derivation of the asymptotic properties of the estimators of TARMA parameters that can be obtained under weaker conditions with respect to those in the available literature.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/4767609
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact