Title: Estimation of AR- and MA-parameters of non-Linear SETARMA-processes
Authors : Wildi, Marc
Proceedings: Operations Research Proceedings 1997 : Selected Papers of the Symposium on Operations Research (SOR’97) Jena, September 3-5, 1997
Pages : 212
Pages to: 217
Conference details: Symposium on Operations Research (SOR’97), Jena, 3-5 September 1997
Publisher / Ed. Institution : Springer
Publisher / Ed. Institution: Berlin
Issue Date: 1998
License (according to publishing contract) : Licence according to publishing contract
Series : Operations Research Proceedings
Series volume: 1997
Type of review: Peer review (abstract)
Language : English
Subject (DDC) : 500: Natural sciences and mathematics
Abstract: Although some authors mention the existence of SETARMA-processes (see for example Tong (1995)) estimation procedures remain restricted to SETAR-processes only. Besides giving a general definition of SETARMA-processes together with a set of identification conditions, this paper proposes an estimation-method for the unknown AR- and MA-parameters of conditional linear threshold-processes.
Departement: School of Engineering
Publication type: Conference paper
DOI : 10.1007/978-3-642-58891-4_33
ISBN: 978-3-540-64240-4
ISSN: 0721-5924
URI: https://digitalcollection.zhaw.ch/handle/11475/16834
Appears in Collections:Publikationen School of Engineering

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