Multi-step ahead predictors of SETARMA models
نویسندگان
چکیده
The generation and the properties of the multi-step point predictors of the Self Exciting Threshold AutoRegressive Moving Average model has been examined. In the first part we focus the attention on the main properties of this class of models and on their different representations that can be derived extending, to the non linear case, some well know results given in Box and Jenkins (1976). Starting from these results, the forecast generation of the SETARMA models is discussed showing its relation with the threshold delay, d. In particular, when the lead time h is less or equal than d, the least square predictor can be easily generated whereas when h > d different predictors are proposed and their combination is evaluated.
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