Predictive density criterion for SETAR models

DOI10.1080/03610918.2019.1653915OpenAlexW2969578082MaRDI QIDQ5082828FDOQ5082828

Authors: Abderaouf Khalfi, Fayçal Hamdi 

Publication date: 21 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1653915

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zbMATH Keywords

nonlinear time seriesBayesian approachSETAR modelpredictive density criterionmodel selection problem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Threshold models in non-linear time series analysis
• Testing and Modeling Threshold Autoregressive Processes
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• A review of threshold time series models in finance
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• A note on the corrected Akaike information criterion for threshold autoregressive models
• Improved model selection criteria for SETAR time series models
• Cross-validation criteria for SETAR model selection
• Bootstrap order selection for SETAR models
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• Predictive Density Order Selection of Periodic AR Models

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