Search results
Results from the WOW.Com Content Network
SETAR models were introduced by Howell Tong in 1977 and more fully developed in the seminal paper (Tong and Lim, 1980). They can be thought of in terms of extension of autoregressive models, allowing for changes in the model parameters according to the value of weakly exogenous threshold variable z t, assumed to be past values of y, e.g. y t-d, where d is the delay parameter, triggering the ...
The liability-threshold model is a threshold model of categorical (usually binary) outcomes in which a large number of variables are summed to yield an overall 'liability' score; the observed outcome is determined by whether the latent score is smaller or larger than the threshold. The liability-threshold model is frequently employed in ...
The models can be thought of in terms of extension of autoregressive models discussed above, allowing for changes in the model parameters according to the value of a transition variable z t. Chan and Tong (1986) rigorously proved that the family of STAR models includes the SETAR model as a limiting case by showing the uniform boundedness and ...
Download as PDF; Printable version; In other projects ... Estimate the best fitting autoregressive model AR(q) = + ... The Threshold GARCH (TGARCH) model by Zakoian ...
These models and extensions to include moving average spline models are described in "Univariate Time Series Modelling and Forecasting using TSMARS: A study of threshold time series autoregressive, seasonal and moving average models using TSMARS". Bayesian MARS (BMARS) uses the same model form, but builds the model using a Bayesian approach. It ...
Download QR code; Print/export ... Continuous-Time Threshold Autoregressive Modelling ... It allows for comparison between models due to its scale-free property.
Howell Tong (simplified Chinese: 汤家豪; traditional Chinese: 湯家豪; pinyin: Tāng Jiāháo; born in 1944 in Hong Kong) is a statistician who has made fundamental contributions to nonlinear time series analysis, semi-parametric statistics, non-parametric statistics, dimension reduction, model selection, likelihood-free statistics and other areas.
Download QR code; Print/export Download as PDF; ... "Subsampling inference in threshold autoregressive models" (PDF). Journal of Econometrics. 127 (2): 201–224.