The moments of SETARMA models
This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.
Year of publication: |
2006
|
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Authors: | Amendola, Alessandra ; Niglio, Marcella ; Vitale, Cosimo |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 6, p. 625-633
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Publisher: |
Elsevier |
Keywords: | Moments SETARMA model Skewness Kurtosis Model selection |
Saved in:
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