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On the approximation of continuous time threshold ARMA processes

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  • P. Brockwell
  • O. Stramer

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Suggested Citation

  • P. Brockwell & O. Stramer, 1995. "On the approximation of continuous time threshold ARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(1), pages 1-20, January.
    • Handle: RePEc:spr:aistmt:v:47:y:1995:i:1:p:1-20
    DOI: 10.1007/BF00773408
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    References listed on IDEAS

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    1. Brockwell, P. J. & Hyndman, R. J., 1992. "On continuous-time threshold autoregression," International Journal of Forecasting, Elsevier, vol. 8(2), pages 157-173, October.
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