Predictive density criterion for SETAR models

DOI10.1080/03610918.2019.1653915OpenAlexW2969578082MaRDI QIDQ5082828

Abderaouf Khalfi, Fayçal Hamdi

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1653915

zbMATH Keywords

nonlinear time seriesBayesian approachSETAR modelpredictive density criterionmodel selection problem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• A review of threshold time series models in finance
• Estimating the dimension of a model
• The model selection criterion AICu.
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Improved model selection criteria for SETAR time series models
• Cross‐validation Criteria for Setar Model Selection
• A threshold AR(1) model
• Predictive Density Order Selection of Periodic AR Models
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• A multiple-threshold AR(1) model
• A note on the corrected Akaike information criterion for threshold autoregressive models
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Testing and Modeling Threshold Autoregressive Processes
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• Bootstrap order selection for SETAR models

This page was built for publication: Predictive density criterion for SETAR models