Abstract
The present paper deals with a specific parameter estimation problem. Assuming a time series of 0-1-valued variables{Xn, n is an element of N0}obtained by clipping a Gaussian AR(p) time series{Zn, n is an element of N0}at unknown thresholdh, an efficient method for estimating parameters is proposed.
If the number of observations is sufficient, the model proves to be highly accurate. A set of simulations is provided as an illustration of theoretical results, supporting the quality of the estimation.