Forecasting for quantile self-exciting threshold autoregressive time series models

DOI10.1093/BIOMET/ASP070MaRDI QIDQ5305481zbMATH OpenOpenAlexFDO

Authors Yuzhi Cai

Publication date 22 March 2010

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asp070

zbMATH Keywords

forecasting methodMonte Carlo methodpredictive density functionquantile forecast

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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Cited in

(20)

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• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
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• Forecasting with Multivariate Threshold Autoregressive Models
• A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
• Combining Forecasts via Simulations
• Common threshold in quantile regressions with an application to pricing for reputation
• Testing for a unit root in a nonlinear quantile autoregression framework
• Markov switching quantile autoregression
• Single-index Thresholding in Quantile Regression
• Spatial cluster detection with threshold quantile regression
• Quantile regression estimation for Poisson autoregressive models
• Time series quantile regression kink with an unknown threshold
• A novel double-banded-threshold mixture autoregressive model
• Quantile regression estimation for self-exciting threshold integer-valued autoregressive process
• Quantile regression for dynamic panel data with fixed effects
• Testing linearity against threshold effects: uniform inference in quantile regression
• Statistical inference for conditional quantiles in nonlinear time series models

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