On forecasting SETAR processes

DOI10.1016/S0167-7152(97)00092-8zbMath0906.62103MaRDI QIDQ1382188

Jan G. De Gooijer, Paul T. De Bruin

Publication date: 25 March 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

predictionnormalityMonte Carlononlinear time seriesself-exciting threshold autoregressive process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Contemporaneous threshold autoregressive models: estimation, testing and forecasting ⋮ Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts ⋮ Forecasting with univariate TAR models ⋮ Statistical Properties of Threshold Models

Cites Work

• Unnamed Item
• Threshold models in non-linear time series analysis
• A threshold AR(1) model