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On continuous-time threshold autoregression

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  • Brockwell, P. J.
  • Hyndman, R. J.

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  • Brockwell, P. J. & Hyndman, R. J., 1992. "On continuous-time threshold autoregression," International Journal of Forecasting, Elsevier, vol. 8(2), pages 157-173, October.
    • Handle: RePEc:eee:intfor:v:8:y:1992:i:2:p:157-173
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    Cited by:

    1. J-P.Guironnet, 2006. "Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
    2. Harris, Keith J. & Blackwell, Paul G., 2013. "Flexible continuous-time modelling for heterogeneous animal movement," Ecological Modelling, Elsevier, vol. 255(C), pages 29-37.
    3. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    4. Dingwen Zhang, 2024. "Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3581-3626, November.
    5. Lingohr, Daniel & Müller, Gernot, 2019. "Stochastic modeling of intraday photovoltaic power generation," Energy Economics, Elsevier, vol. 81(C), pages 175-186.
    6. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    7. P. Brockwell & O. Stramer, 1995. "On the approximation of continuous time threshold ARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(1), pages 1-20, January.
    8. Su, Fei & Chan, Kung-Sik, 2015. "Quasi-likelihood estimation of a threshold diffusion process," Journal of Econometrics, Elsevier, vol. 189(2), pages 473-484.
    9. Chan, K. S. & Stramer, O., 1998. "Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 33-44, August.
    10. Siu, Tak Kuen, 2016. "A self-exciting threshold jump–diffusion model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 168-193.

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