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Robust Estimation in Threshold Autoregression
| Authors: Goryainov V.B., Goryainova E.R. | Published: 22.11.2017 |
| Published in issue: #6(75)/2017 | |
| DOI: 10.18698/1812-3368-2017-6-19-30 | |
| Category: Mathematics and Mechanics | Chapter: Probability Theory and Mathematical Statistics | |
| Keywords: threshold autoregression model, M-estimates, asymptotic normality, asymptotic relative efficiency, Tukey distribution | |