Estimation of multiple-regime threshold autoregressive models with structural breaks

DOI10.1080/01621459.2014.954706MaRDI QIDQ5367431zbMATH OpenOpenAlexFDO

Authors 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

autoregressive modelchange-point detectionestimationgenetic algorithmsminimum description length principlemultiple-thresholdnonlinear time seriesnonstationary time seriespiecewise modeling

Mathematics Subject Classification ID

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

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Cited in

(22)

• Estimation and identification of periodic autoregressive models with one exogenous variable
• Generalized threshold latent variable model
• Fixed accuracy estimation of parameters in a threshold autoregressive model
• Bayesian estimation for threshold autoregressive model with multiple structural breaks
• Estimating multiple breaks in nonstationary autoregressive models
• Multiple changepoint detection with partial information on changepoint times
• Multi-regime models for nonlinear nonstationary time series
• Identification of TAR models using recursive estimation
• Detecting abrupt changes in the spectra of high-energy astrophysical sources
• Modelling asymmetric behaviour in time series: identification through PSO
• Theory and applications of TAR model with two threshold variables
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime
• Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
• Threshold models for high-dimensional time series with network structure
• Generalized multivariate threshold autoregressive models with linearly partitioned threshold space
• On the least squares estimation of multiple-regime threshold autoregressive models
• LASSO estimation of threshold autoregressive models
• Numerical issues in threshold autoregressive modeling of time series
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms

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