A note on the consistency of a robust estimator for threshold autoregressive processes

被引：4
|
作者：
Zhang, Li-Xin [4 ]
Chan, Wai-Sum [1 ]
Cheung, Siu-Hung [2 ,3 ]
Hung, King-Chi [2 ]
机构：
[1] Chinese Univ Hong Kong, Dept Finance, Hong Kong, Hong Kong, Peoples R China
[2] Chinese Univ Hong Kong, Dept Stat, Hong Kong, Hong Kong, Peoples R China
[3] Natl Cheng Kung Univ, Dept Stat, Tainan 70101, Taiwan
[4] Zhejiang Univ, Dept Math, Hangzhou 310028, Zhejiang, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 06期
关键词：
LEAST-SQUARES ESTIMATOR; TIME-SERIES; MODELS;
D O I：
10.1016/j.spl.2008.10.036
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The method of conditional least squares is commonly used for estimating threshold autoregressive parameters, and its consistency was derived by Chan [Chan, K.S., 1993. Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. Annals of Statistics 21, 520-533]. In this note we consider a general class of robust estimators for threshold autoregressive models, and under some regularity conditions and a proper choice of the weight function, the consistency is demonstrated. (c) 2008 Elsevier B.V. All rights reserved.
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页码：807 / 813
页数：7
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