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Maximum Likelihood Estimation in Threshold Autoregression

Authors: Goryainov V.B., Goryainova E.R. Published: 08.06.2018
Published in issue: #3(78)/2018  
DOI: 10.18698/1812-3368-2018-3-13-23

 
Category: Mathematics and Mechanics | Chapter: Computational Mathematics  
Keywords: robust estimation, convex objective, maximum likelihood estimation, least squares estimation, least absolute deviation estimation

The study focuses on robust estimation of the parameters of autoregressive threshold models carried out by means of the maximum likelihood estimation method with an optionally convex objective. We proved the asymptotic normalcy of these estimates and studied their asymptotic relative efficiency with respect to least squares and least absolute deviation estimates and to the maximum likelihood estimation with convex objective

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