Estimation in threshold autoregressive models with correlated   innovations
  Large sample statistical analysis of threshold autoregressive (TAR) models is usually based on the assumption that the underlying driving noise is uncorrelated. In this paper, we consider a model, driven by Gaussian noise with geometric correlation tail and derive a complete characterization of the asymptotic distribution for the Bayes estimator of the threshold parameter. 
P. Chigansky and Y. Kutoyants
math.ST math.PR stat.TH