Cross‐validation Criteria for Setar Model Selection

DOI10.1111/1467-9892.00223zbMath0978.62077OpenAlexW2096482047MaRDI QIDQ2740035

Jan G. De Gooijer

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00223

zbMATH Keywords

Akaike information criterionBayesian information criterionAIC-cAIC-uself-exciting threshold time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Statistical aspects of information-theoretic topics (62B10)

Related Items (9)

Improved model selection criteria for SETAR time series models ⋮ Predictive density criterion for SETAR models ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models ⋮ Bootstrapping Threshold Autoregressive Models ⋮ Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use ⋮ SETAR model selection -- a bootstrap approach ⋮ Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models ⋮ Using threshold autoregressive models to study dyadic interactions

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