Non-regular estimation theory for piecewise continuous spectral densities
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- Yan Liu & Masanobu Taniguchi, 2021. "Minimax estimation for time series models," METRON, Springer;Sapienza Università di Roma, vol. 79(3), pages 353-359, December.
- Ngai Chan & Yury Kutoyants, 2012. "On parameter estimation of threshold autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 81-104, April.
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Keywords
Piecewise continuous spectra Likelihood ratio Non-regular estimation Maximum likelihood estimator Bayes estimator Asymptotic efficiency;Statistics
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