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
2021-01-01
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:
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