THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS

DOI10.1111/j.1467-9892.1995.tb00247.xzbMath0833.62084OpenAlexW2038364295MaRDI QIDQ4854211

Rong Chen

Publication date: 20 March 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00247.x

zbMATH Keywords

classificationalgorithmsconsistencynonlinear time seriesgraphical proceduresdigressionmost suitable threshold variableopen-loop threshold autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Graphical methods in statistics (62A09)

Related Items (8)

Penalized estimation of threshold auto-regressive models with many components and thresholds ⋮ Generalized Poisson autoregressive models for time series of counts ⋮ Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ Threshold variable selection by wavelets in open-loop threshold autoregressive models ⋮ Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models ⋮ Threshold variable selection of asymmetric stochastic volatility models ⋮ On double hysteretic heteroskedastic model ⋮ Threshold factor models for high-dimensional time series

Cites Work

• Threshold models in non-linear time series analysis
• An introduction to bispectral analysis and bilinear time series models
• A Markov model for switching regressions
• Sampling-Based Approaches to Calculating Marginal Densities
• Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
• Testing and Modeling Threshold Autoregressive Processes

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