Weighted forecasts from SETARs with single- and multiple thresholds

DOI10.1007/S10260-025-00799-9MaRDI QIDQ6913463zbMATH OpenFDO

Authors Jan G. De Gooijer, Marcella Niglio

Publication date 21 October 2025

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10260-025-00799-9

zbMATH Keywords

mean-squared forecast errorMonte Carlo simulationmultiple threshold variablesoptimal weightsself-exciting threshold autoregressive modelsweighted forecasts

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Parametric inference (62F99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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