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	The wavelet identification of thresholds and time delay of threshold autoregressive models
	Li, Y ; Xie, ZJ
	1999
关键词	thresholds time delay wavelets SERIES
英文摘要	In this paper, we consider identification of the thresholds and time delay of threshold autoregressive models with p- dependence and an unknown number of thresholds. By checking p different empirical wavelets of the data to see which have significantly large absolute values, the time delay is identified first. By further checking the empirical wavelets corresponding to the time delay across the fine scale levels, the thresholds and their number are identified. All estimators are shown to be strongly consistent.; Statistics & Probability; SCI(E); 8; ARTICLE; 1; 153-166; 9
语种	英语
出处	SCI
出版者	statistica sinica
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/401594]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Y,Xie, ZJ. The wavelet identification of thresholds and time delay of threshold autoregressive models. 1999-01-01.

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