A descriptive method to evaluate the number of regimes in a switching autoregressive model

DOI10.1016/J.NEUNET.2006.05.019MaRDI QIDQ2506543zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Madalina Olteanu

Publication date 10 October 2006

Published in Neural Networks (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.neunet.2006.05.019

zbMATH Keywords

hierarchical clusteringSOMswitching autoregressive modelsward distance

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Nonnumerical algorithms (68W05)

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Cites work

• A Look at Some Data on the Old Faithful Geyser
• A maximum likelihood methodology for clusterwise linear regression
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Clustering Objects Generated by Linear Regression Models
• Clusterwise linear regression
• Estimation and model selection based inference in single and multiple threshold models.
• Self-organizing maps.
• Use of the Chow Test under Heteroscedasticity

Cited in

(3)

• Adaptive signal processing of asset price dynamics with predictability analysis
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• Estimating the number of regimes of non-linear autoregressive models

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