Testing and Modeling Multivariate Threshold Models
نویسندگان
چکیده
منابع مشابه
Testing and Modeling Multivariate Threshold Models
Threshold autoregressive models in which the process is piecewise linear in the threshold space have received much attention in recent years. In this paper, we use predictive residuals to construct a test statistic to detect threshold nonlinearity in a vector time series and propose a procedure for building a multivariate threshold model. The thresholds and the model are selected jointly based ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 1998
ISSN: 0162-1459
DOI: 10.2307/2669861