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stat.ME2022
Robust estimation for Threshold Autoregressive Moving-Average models
Greta Goracci, Davide Ferrari, Simone Giannerini +1
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. Howev…
math.ST2022
A multivariate extension of the Misspecification-Resistant Information Criterion
Gery Andrés Díaz Rubio, Simone Giannerini, Greta Goracci
The Misspecification-Resistant Information Criterion (MRIC) proposed in [H.-L. Hsu, C.-K. Ing, H. Tong: On model selection from a finite family of possibly misspecified time series…