TAR Modeling with Missing Data when the White Noise Process Follows a Student's t-Distribution
This paper considers the modeling of the threshold autoregressive (TAR) process, which is driven by a noise process that follows a Students t-distribution. The analysis is done in the presence of missing data in both the threshold process {Zt} and the interest process {Xt}. We develop a three-stage...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Nacional de Colombia
2015-01-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512015000100013&lng=en&tlng=en |