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Journal of the American Statistical Association Volume 110, 2015 - Issue 511
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Theory and Methods

Estimation of Multiple-Regime Threshold Autoregressive Models With Structural Breaks

Chun Yip YauView further author information
,
Chong Man TangView further author information
&
Thomas C. M. LeeView further author information
Pages 1175-1186 | Received 01 Sep 2013, Published online: 07 Nov 2015

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Yuqin Sun, Yawen Wang, Yan Li & Wei Zhu. (2023) Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs. Communications in Statistics - Theory and Methods 52:24, pages 8677-8695.
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Articles from other publishers (11)

Muhammad Jaffri Mohd Nasir, Ramzan Nazim Khan, Gopalan Nair & Darfiana Nur. (2023) Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model. Statistical Papers.
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Chih‐Hao Chang, Kam‐Fai Wong & Wei‐Yee Lim. (2022) Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime. Statistica Neerlandica 77:1, pages 4-47.
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Victor V. Konev & Sergey E. Vorobeychikov. (2021) Fixed accuracy estimation of parameters in a threshold autoregressive model. Annals of the Institute of Statistical Mathematics 74:4, pages 685-711.
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Cong Xu & Thomas C. M. Lee. (2022) Statistical Consistency for Change Point Detection and Community Estimation in Time-Evolving Dynamic Networks. IEEE Transactions on Signal and Information Processing over Networks 8, pages 215-227.
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Varun Agiwal & Jitendra Kumar. (2020) Bayesian estimation for threshold autoregressive model with multiple structural breaks. METRON 78:3, pages 361-382.
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Yaxing Yang & Dong Li. (2019) Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models. Journal of Time Series Analysis 41:1, pages 163-172.
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Domenico Cucina, Manuel Rizzo & Eugen Ursu. (2019) Multiple changepoint detection for periodic autoregressive models with an application to river flow analysis. Stochastic Environmental Research and Risk Assessment 33:4-6, pages 1137-1157.
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Yuanbo Li, Xunze Zheng & Chun Yip Yau. (2019) Generalized threshold latent variable model. Electronic Journal of Statistics 13:1.
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Yingbo Li, Robert Lund & Anuradha Hewaarachchi. (2019) Multiple changepoint detection with partial information on changepoint times. Electronic Journal of Statistics 13:2.
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Eugen Ursu & Jean-Christophe Pereau. (2017) Estimation and identification of periodic autoregressive models with one exogenous variable. Journal of the Korean Statistical Society 46:4, pages 629-640.
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Raymond K. W. Wong, Vinay L. Kashyap, Thomas C. M. Lee & David A. van Dyk. (2016) Detecting abrupt changes in the spectra of high-energy astrophysical sources. The Annals of Applied Statistics 10:2.
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