On the existence and application of continuous-time threshold autoregressions of order two

Advances in Applied Probability

Volumn 29, Issue 1, 1997, Pages 205-227

  Brockwell, P J ^a   Williams, R J ^b  

^a RMIT UNIVERSITY   (Australia)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Cameron martin girsanov formula; Degenerate diffusion; MARTINGALE problem; Non linear time series; Random time change; Stochastic differential equation; Threshold autoregression

Indexed keywords

EID: 0042896944     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800027853     Document Type: Article

References (21)

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