Threshold variable selection by wavelets in open-loop threshold autoregressive models
type: Item
instance of: scholarly article
title: Threshold variable selection by wavelets in open-loop threshold autoregressive models
zbMATH Open document ID: 0951.62078
DOI: 10.1016/S0167-7152(98)00232-6
author: Wai-cheung Ip
author: Heung Wong
author: Yuan Li
author: Zhongjie Xie
published in: Statistics \& Probability Letters
publication date: 2001-01-03T00:00:00Z
review text: The authors deal with identification of the general open-loop threshold autoregressive models TARSO (the classical SETAR models are a special case). The time delay and thresholds are detected and estimated by checking the variation of the empirical wavelet coefficients. These coefficients are defined using results by \textit{Y.K. Truong} and \textit{C.J. Stone} [Ann. Stat. 20, No. 1, 77-97 (1992; Zbl 0764.62038)]. The estimators are shown to be consistent, and simulations are presented.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M99
zbMATH DE Number: 1395184
zbMATH Keywords: time delay
zbMATH Keywords: wavelets
zbMATH Keywords: open-loop threshold autoregressive models
zbMATH Keywords: TARSO
reviewed by: Tomáš Cipra
MaRDI profile type: Publication
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Wikidata QID: Q127658670
description: scientific article; zbMATH DE number 1395184