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Threshold autoregression analysis for finite-range time series of counts with an application on measles data

ABSTRACT This article studies the threshold autoregression analysis for the self-exciting threshold binomial autoregressive processes. Parameters' point estimation and interval estimation problems are considered via the empirical likelihood method. A new algorithm to estimate the threshold value of the threshold model is also given. Simulation study is conducted for the evaluation of the developed approach. An application on measles data is provided to show the applicability of the method.