Threshold variable selection by wavelets in open-loop threshold autoregressive models (Q1962219)
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scientific article; zbMATH DE number 1395184
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| English | Threshold variable selection by wavelets in open-loop threshold autoregressive models |
scientific article; zbMATH DE number 1395184 |
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Threshold variable selection by wavelets in open-loop threshold autoregressive models (English)
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3 January 2001
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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.
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time delay
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wavelets
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open-loop threshold autoregressive models
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TARSO
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0.852409839630127
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0.8458737134933472
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