Predictive recursion maximum likelihood of threshold autoregressive model
Year of publication: |
[2017]
|
---|---|
Authors: | Pathairat Pastpipatkul ; Woraphon Yamaka ; Songsak Sriboonchitta |
Published in: |
Robustness in econometrics. - Cham : Springer, ISBN 978-3-319-50741-5. - 2017, p. 349-362
|
Subject: | Threshold autoregressive | PR-EM algorithm | Predictive recursion marginal likelihood | Stock market | Autokorrelation | Autocorrelation | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Aktienmarkt | Zeitreihenanalyse | Time series analysis |
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