Predictive density criterion for SETAR models

DOI10.1080/03610918.2019.1653915MaRDI QIDQ5082828zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

nonlinear time seriesBayesian approachSETAR modelpredictive density criterionmodel selection problem

Mathematics Subject Classification ID

Statistics (62-XX)

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• A review of threshold time series models in finance
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• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Bootstrap order selection for SETAR models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Cross-validation criteria for SETAR model selection
• Estimating the dimension of a model
• Improved model selection criteria for SETAR time series models
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Predictive Density Order Selection of Periodic AR Models
• Testing and Modeling Threshold Autoregressive Processes
• The model selection criterion AICu.
• Threshold models in non-linear time series analysis

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