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Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models |
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| Authors: | Yaxing Yang Shiqing Ling |
| Affiliation: | 1. School of Economics and Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China (yyangaj@gmail.com);2. Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong (maling@ust.hk) |
| Abstract: | |
| Keywords: | Asymptotic normality Compound Poisson process MTDAR models QMELE Strong consistency TAR model |