The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet
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Publication:6240482
arXiv1303.4867MaRDI QIDQ6240482FDOQ6240482
Authors: Song-Yon Kim, M. C. Kim 
Publication date: 20 March 2013
Abstract: In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here we composed an empirical wavelet from the SETAR (Self-Exciting Threshold Autoregressive) model and identified the thresholds and time delay in the model using it.
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