A note on the consistency of a robust estimator for threshold autoregressive processes
The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 21, 520-533]. In this note we consider a general class of robust estimators for threshold autoregressive models, and under some regularity conditions and a proper choice of the weight function, the consistency is demonstrated.
Year of publication: |
2009
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Authors: | Zhang, Li-Xin ; Chan, Wai-Sum ; Cheung, Siu-Hung ; Hung, King-Chi |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 6, p. 807-813
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Publisher: |
Elsevier |
Saved in:
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