Self Exciting Threshold Autoregressive Models for Describing Cyclical Data

DOI10.1177/0008068320060108MaRDI QIDQ5441850zbMATH OpenOpenAlexFDO

Authors Himadri Ghosh, G. Sunilkumar, Prajneshu

Publication date 15 February 2008

Published in Calcutta Statistical Association Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/0008068320060108

zbMATH Keywords

Akaike information criterioncyclical datalac export datalikelihood ratio teststructural time-series modelTukey's test for non-additivity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for wavelets (65T60)

Recommendations

• scientific article; zbMATH DE number 1051047
• SETAR model selection -- a bootstrap approach
• Model selection in threshold models
• scientific article; zbMATH DE number 775746
• scientific article; zbMATH DE number 6404162

Cited in

(4)

• Self-excited hysteretic negative binomial autoregression
• Fitting of self-exciting threshold autoregressive moving average nonlinear time-series model through genetic algorithm and development of out-of-sample forecasts
• Structural time-series models for describing cyclical fluctuations
• SETAR-Tree: a novel and accurate tree algorithm for global time series forecasting

This page was built for publication: Self Exciting Threshold Autoregressive Models for Describing Cyclical Data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5441850)