Statistical Inference for Periodic Self-Exciting Threshold Integer-Valued Autoregressive Processes
This paper considers the periodic self-exciting threshold integer-valued autoregressive processes under a weaker condition in which the second moment is finite instead of the innovation distribution being given. The basic statistical properties of the model are discussed, the quasi-likelihood infere...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-06-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/6/765 |