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Computational Statistics

, Volume 32, Issue 4, pp 1597–1620 | Cite as

Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes

Original Paper

Abstract

This article redefines the self-exciting threshold integer-valued autoregressive (SETINAR(2,1)) processes under a weaker condition that the second moment is finite, and studies the quasi-likelihood inference for the new model. The ergodicity of the new processes is discussed. Quasi-likelihood estimators for the model parameters and the asymptotic properties are obtained. Confidence regions of the parameters based on the quasi-likelihood method are given. A simulation study is conducted for the evaluation of the proposed approach and an application to a real data example is provided.

Keywords

SETINAR process Integer-valued threshold models Confidence region 

Notes

Acknowledgements

This work is supported by National Natural Science Foundation of China (Nos. 11271155, 11371168, J1310022, 11571138, 11501241, 11571051, 11301137), National Social Science Foundation of China (16BTJ020), Science and Technology Research Program of Education Department in Jilin Province for the 12th Five-Year Plan (440020031139) and Jilin Province Natural Science Foundation (20150520053JH).

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Copyright information

© Springer-Verlag GmbH Germany 2017

Authors and Affiliations

  1. 1.School of MathematicsJilin UniversityChangchunPeople’s Republic of China

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