報告題目：On the least squares estimation of 2-threshold-variable autoregressive models
報 告 人：李東 清華大學 副教授
報告時間：2020年6月18日 上午 10:40-11:40
報告地點：騰訊會議
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會議 ID：214 844 911
會議密碼：200618
校内聯系人：趙世舜 zhaoss@jlu.edu.cn
報告摘要：
Most threshold models contain a single threshold variable. However, in many empirical applications, models with two or perhaps more threshold variables may be needed. This paper develops the least squares estimation (LSE) of the 2-threshold-variable autoregressive (2-TAR) model and studies its asymptotic properties. We show that the LSE is strongly consistent and the estimated thresholds are n-consistent and asymptotically independent, each converging weakly to the smallest minimizer of a one-dimensional two-sided compound Poisson process. The slope parameters are √n-consistent and asymptotically normal, being asymptotically independent of the estimated thresholds. To construct confidence intervals of threshold parameters, a local logistic method is employed to simulate the limiting distribution of the estimated threshold. Simulation studies are conducted to assess the finite-sample performance of the LSE. Finally, we present two real examples, one on the U.S. GNP and the other stock returns, to illustrate the efficacy of our modelling. Our results can be extended easily to the k-threshold-variable case,k>2 , although for most practical situations k=2 seems sufficient.
報告人簡介：
李東，清華大學統計學研究中心長聘副教授，2010年畢業于香港科技大學，2013年加入清華大學。主要研究興趣：非線性時間序列分析，金融計量學，網絡數據分析與大數據。目前擔任全國工業統計學教學研究會常務理事，中國青年統計學家協會常務理事，北京大數據協會常務理事，中國概率統計學會副秘書長，中國現場統計研究會計算統計分會理事，北京應用統計學會理事。主持國家自然科學基金委面上項目2項；結題青年基金項目1項。
