In the past, most threshold models considered a single variable. However, for some practical applications, with two variables may be needed. this paper, we propose two-threshold-variable integer-valued autoregressive model based on binomial thinning operator and discuss of its basic properties, including mean, variance, strict stationarity, ergodicity. We consider conditional least squares (CLS...

Researchers in the social and behavioural sciences often ask questions regarding the time-linked associations between two or more constructs at multiple assessments across time. Although their questions typically involve an interest in making within-subject inferences, the most commonly used analytic approach does not disaggregate between-from within-subject variations, resulting in a mismatch ...

We de2ne a notion of subspace angles between two linear, autoregressive moving average, single-input–single-output models by considering the principal angles between subspaces that are derived from these models. We show how a recently de2ned metric for these models, which is based on their cepstra, relates to the subspace angles between the models. c © 2002 Elsevier Science B.V. All rights rese...

Abstract. This paper deals with the problem of testing a change in variance of the p-th order autoregressive process, AR(p), at an unknown change point τ . We propose a test based on maximum likelihood principle for detecting such type of change, find asymptotic distribution of the test statistic and compare it with the tests for detecting changes in both variance and autoregressive parameters ...

Univariate and multivariate empirical processes based on residuals of Infinite variance autoregressive processes are investigated. The results are used to develop tests of independence and Goodness of fit.

In this paper we put forward a duration model to analyze the dynamic effects of marketing-mix variables on interpurchase times. We extend the accelerated failuretime model with an autoregressive structure. An important feature of our model is that it allows for different long-run and short-run effects of marketing-mix variables on interpurchase times. As marketing efforts usually change during ...