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March, 1993 Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
K. S. Chan
Ann. Statist. 21(1): 520-533 (March, 1993). DOI: 10.1214/aos/1176349040

Abstract

It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson Process.

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K. S. Chan. "Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model." Ann. Statist. 21 (1) 520 - 533, March, 1993. https://doi.org/10.1214/aos/1176349040

Information

Published: March, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0786.62089
MathSciNet: MR1212191
Digital Object Identifier: 10.1214/aos/1176349040

Subjects:
Primary: 62M10
Secondary: 62J05

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 1 • March, 1993
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