Nonlinear modelling of periodic threshold autoregressions using Tsmars

DOI10.1111/1467-9892.t01-1-00269zbMath1092.62089OpenAlexW2146845843MaRDI QIDQ5467630

Peter A. W. Lewis, Bonnie K. Ray

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/1467-9892.t01-1-00269

zbMATH Keywords

threshold autoregressionperiodically correlated time seriesTSMARS

Mathematics Subject Classification ID

Related Items (8)

Estimation in periodic restricted EXPAR(1) models ⋮ Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model ⋮ On a periodic negative binomial SETINAR model ⋮ Adaptive Estimation of Periodic First-Order Threshold Autoregressive Model ⋮ Drought forecasting using stochastic models ⋮ Optimal test forPAR(1) dependence againstPSETAR(2,1,1) models with specified threshold ⋮ Adaptive Test for Periodicity in Self-Exciting Threshold Autoregressive Models ⋮ Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality

Cites Work

• Developing robust non-linear models through bootstrap aggregated neural networks
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Nonlinear modelling of periodic threshold autoregressions using Tsmars