Threshold estimation in autoregressive models driven by colored noise

Details Threshold estimation in autoregressive models driven by colored noise Threshold estimation in autoregressive models driven by colored noise

2011-08-07

arxiv.org/abs/1108.1536v3

Mathematics

Statistics Theory

details are added to the proof of Lemma 2.3

Scientific paper

Large sample statistical analysis of threshold autoregressive (TAR) models is
usually based on the assumption that the underlying driving noise is white. In
this paper, we consider a model, driven by Gaussian colored noise with
geometric correlation tail and derive a complete characterization of the
asymptotic distribution of the Bayes estimator of the threshold parameter.

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