| Title:
|
On threshold autoregressive processes (English) |
| Author:
|
Anděl, Jiří |
| Author:
|
Netuka, Ivan |
| Author:
|
Zvára, Karel |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
20 |
| Issue:
|
2 |
| Year:
|
1984 |
| Pages:
|
89-106 |
| . |
| Category:
|
math |
| . |
| MSC:
|
60G10 |
| MSC:
|
60G15 |
| MSC:
|
60J99 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0547.62058 |
| idMR:
|
MR747062 |
| . |
| Date available:
|
2009-09-24T17:39:32Z |
| Last updated:
|
2012-06-05 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124493 |
| . |
| Reference:
|
[1] H. Akaike: A new look at the statistical model identfication.IEEE Trans. Automat. Control AC-19 (1974), 716-723. MR 0423716 |
| Reference:
|
[2] J. Anděl: Fitting models in time series analysis.Math. Operationsforsch. Statist., Ser. Statistics 13 (1982), 121-143. MR 0665069 |
| Reference:
|
[3] J. Anděl: Marginal distributions of autoregressive processes.In: Trans. 9th Prague Conf. Inform. Theory etc., Vol. A, Academia, Prague 1983, pp. 127- 135. MR 0757732 |
| Reference:
|
[4] J. Anděl: Dependent random variables with a given marginal distribution.Acta Univ. Carolinae. Math.-and Phys. 24 (1983), 3-12. MR 0733140 |
| Reference:
|
[5] J. Anděl, T. Cipra: Prahové modely.(výzkumná zpráva) [Threshold Models (Technical Report)]. Institut hygieny a epidemiologie, Praha 1982. |
| Reference:
|
[6] C. W. J. Granger, A. P. Anderson: An Introduction to Bilinear Time Series Models.Vandenhoeck and Ruprecht, Gottingen 1978. MR 0483231 |
| Reference:
|
[7] D. L. Doob: Stochastic Processes.Wiley, New York 1953. Zbl 0053.26802, MR 0058896 |
| Reference:
|
[8] V. Haggan, T. Ozaki: Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model.Biometrika 68 (1981), 189-196. Zbl 0462.62070, MR 0614955 |
| Reference:
|
[9] D. A. Jones: Non-linear Autoregressive Processes.Unpublished Ph. D. Thesis, Univ. of London 1976. |
| Reference:
|
[10] D. A. Jones: Stationarity of Non-linear Autoregressive Processes.Technical Report, Institute of Hydrology, Wallingford, Oxon, U.K. 1977. |
| Reference:
|
[11] D. A. Jones: The Statistical Treatment of Non-linear Autoregressive Processes.Technical Report, Institute of Hydrology, Wallingford, Oxon, U. K. 1977. |
| Reference:
|
[12] D. A. Jones: Nonlinear autoregressive processes.Proc. Roy. Soc. London Ser. A 360 (1978), 71-95. Zbl 0378.62076, MR 0501672 |
| Reference:
|
[13] T. Ozaki: Non-linear threshold autoregressive models for non-linear random vibrations.J. Appl. Prob. 18 (1981), 443-451. Zbl 0459.73077 |
| Reference:
|
[14] T. Ozaki, H. Oda: Non-linear time series model identification by Akaike's information criterion.In: Information and Systems (B. Dubuisson, ed.), Pergamon Press, Oxford 1978. |
| Reference:
|
[15] J. Pemberton, H. Tong: A Note on the Distributions of Non-linear Autoregressive Stochastic Processes.Technical Report 132, Dept. of Statist., Univ. of Manchester 1980. |
| Reference:
|
[16] J. Pemberton, H. Tong: Frequency-domain Analysis of Non-linear Systems Through Threshold Autoregression.Technical Report 140, Dept. of Statist., Univ. of Manchester 1981. |
| Reference:
|
[17] H. Tong: On a threshold model.In: Pattern Recognition and Signal Processing (C. H. Chen, ed.), Sijthoffand Noordhoff, Amsterdam 1978, pp. 575-586. |
| Reference:
|
[18] H. Tong: A view on non-linear time series model building.In: Time Series (Proc. Int. Conf. Nottingham Univ. 1979,0. D. Anderson, ed.), North Holland, Amsterdam 1980, pp. 41- 56. MR 0593326 |
| Reference:
|
[19] H. Tong: On the Structure of Threshold Time Series Models.Technical Report 134, Dept. of Statist., Univ. of Manchester 1980. |
| . |
