References
- Bengabrit , Y. , Hallin , M. ( 1998 ). Locally asymptotically optimal tests for AR(p) against diagonal bilinear dependence . Journal of Statistical Planning Inference 68 : 47 – 63 .
- Bentarzi , M. , Hallin , M. ( 1996 ). Locally optimal tests against periodic autoregression . Econometric Theory 12 : 88 – 112 .
- Chan , K. S. ( 1990 ). Testing for threshold autoregression . The Annals of Statistics 18 ( 4 ): 1886 – 1894 .
- De Gooijer , J. G. , Anguera , A. V. ( 2000 ). Modelling seasonalities in nonlinear inflation rates using seasetars . Tinbergen Institute Discussion Paper TI 098/4.
- Hájek , J. ( 1972 ). Local asymptotic minimax and admissibility in estimation . Proc. Sixth Berkeley Symposium Mathematics and Statistical Probability 1 . University California Press , pp. 175 – 194 .
- Hájek , J. , Šidásk , Z. (1967). Theory of Rank Tests . New York : Academic Press.
- Koul , H. L. , Schick , A. ( 1997 ). Efficient estimation in nonlinear autoregressive time series models . Bernoulli 3 : 247 – 277 .
- Kreiss , J. P. ( 1987 ). On adaptive estimation in stationary ARMA processes . The Annals of Statistics 15 ( 1 ): 112 – 133 .
- Le Cam , L. ( 1960 ). Locally asymptotically normal families of distributions . University of California Publishing Statistics 3 : 37 – 98 .
- Le Cam , L. ( 1986 ). Asymptotic Methods in Statistical Decision Theory . New York : Springer-Verlag .
- Lewis , P. A. W. , Ray , B. K. ( 2002 ). Nonlinear modelling of periodic threshold autoregressions using TSMARS . Journal Time Series Analysis 23 ( 4 ): 459 – 471 .
- Linton , O. ( 1993 ). Adaptive estimation in ARCH models . Econometric Theory 9 : 539 – 569 .
- Moeanaddin , R. , Tong , H. ( 1988 ). A comparison of likelihood ratio test and CUSUM test for threshold autoregression . The Statistician 37 : 213 – 25 .
- Petruccelli , J. , Davies , N. ( 1986 ). A Portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series . Biometrika 73 : 687 – 694 .
- Roussas , G. G. ( 1979 ). Asymptotic distribution of the log-likelihood function for stochastic processes . Z. Wahrsch. Verw. Gebiete 47 : 31 – 46 .
- Swensen , A. R. ( 1985 ). The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend . Journal of Multivariate Analysis 16 : 54 – 70 .
- Tong , H. ( 1978 ). On threshold models . In: Chen , C. H. , ed. Pattern Recognition and Signal Processing . Amsterdam : Sijhoff & Noordhoff .
- Tong , H. ( 1983 ). Threshold Models in Nonlinear Time Series . New York : Springer .
- Tong , H. ( 1990 ). Nonlinear Time Series: A Dynamical System Approach . Oxford : Oxford University Press .
- Tong , H. , Lim , K. S. ( 1980 ). Threshold autoregression, limit cycles and cyclical data . Journal of the Statistical Royal Society Series B 4 : 245 – 292 .
- Tsay , R. S. ( 1989 ). Testing and modeling threshold autoregressive processes . Journal of the American Statistical Association 84 : 231 – 240 .
- Wald , A. ( 1943 ). Tests of statistical hypotheses concerning several parameters when the number of observations is large . Transaction American Mathematical Society 54 : 426 – 482 .