Estimation of Multiple-Regime Threshold Autoregressive Models With Structural Breaks

DOI10.1080/01621459.2014.954706zbMath1373.62461OpenAlexW2017324572MaRDI QIDQ5367431

Chun Yip Yau, Chong Man Tang, Thomas C. M. Lee

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Estimation_of_Multiple_Regime_Threshold_Autoregressive_Models_With_Structural_Breaks/1597476

zbMATH Keywords

estimationgenetic algorithmsautoregressive modelnonlinear time seriesnonstationary time seriesminimum description length principlechange-point detectionmultiple-thresholdpiecewise modeling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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