A robust cusum test for SETAR-type nonlinearity in time series

Journal of Forecasting

Volumn 28, Issue 3, 2009, Pages 266-276

  Petruccelli, Joseph D ^a   Onofrei, Alina ^b   Wilbur, Jayson D ^a,c  

^a Worcester Polytechnic Institute   (United States)

^b UNIVERSITY OF MASSACHUSETTS   (United States)

^c INOVA DIAGNOSTICS INC   (United States)

Author keywords

Additive outliers; GM estimation; Innovational outliers; Outliers

Indexed keywords

MAXIMUM LIKELIHOOD ESTIMATION; TESTING;

ADDITIVE OUTLIERS; AUTO-REGRESSIVE; CUSUM TEST; GM ESTIMATION; INNOVATIONAL OUTLIER; MODELING METHODOLOGY; OUTLIER; SELF-EXCITING; SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS; TIMES SERIES;

TIME SERIES;

EID: 63849255056     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1113     Document Type: Article

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