70 citations · 150 across the 7 of their papers we have counts for
8 papers
A Note on Threshold Principle, Artificial Neural Network Connections and Econometric Legacy
Howell Tong
This is mostly a non-technical note, reflecting the author's philosophy and personal views on time series analysis, with references limited to only a few representatives for brevit…
Testing for threshold effects in the TARMA framework
Greta Goracci, Simone Giannerini, Kung-Sik Chan +1
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statist…
Asymptotic Theory of Principal Component Analysis for Time Series Data with Cautionary Comments
Xinyu Zhang, Howell Tong
Principal component analysis (PCA) is a most frequently used statistical tool in almost all branches of data science. However, like many other statistical tools, there is sometimes…
Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis
Kung-Sik Chan, Simone Giannerini, Greta Goracci +1
Regulation is an important feature characterising many dynamical phenomena and can be tested within the threshold autoregressive setting, with the null hypothesis being a global no…
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…
Rejoinder to "Feature Matching in Time Series Modeling"
Yingcun Xia, Howell Tong
Rejoinder to "Feature Matching in Time Series Modeling" by Y. Xia and H. Tong [arXiv:1104.3073]