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Predictive density criterion for SETAR models

Authors :
Fayçal Hamdi
Abderaouf Khalfi
Source :
Communications in Statistics - Simulation and Computation. 51:443-459
Publication Year :
2019
Publisher :
Informa UK Limited, 2019.

Abstract

This paper deals with the problem of joint determination of the delay parameter and autoregressive orders of the Self-Exciting Threshold Autoregressive (SETAR) models. More specifically, we propose...

Details

ISSN :
15324141 and 03610918
Volume :
51
Database :
OpenAIRE
Journal :
Communications in Statistics - Simulation and Computation
Accession number :
edsair.doi...........f094493d46c5947a8f2ca0a9f608f105
Full Text :
https://doi.org/10.1080/03610918.2019.1653915