𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Bayesian selection of threshold autoregressive models

✍ Scribed by Edward P. Campbell


Book ID
111039875
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
457 KB
Volume
25
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Threshold variable selection by wavelets
✍ Wai-Cheung Ip; Heung Wong; Yuan Li; Zhongjie Xie πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 204 KB

Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coe cients of the data are deΓΏned. The time delay and thresholds are detected and then estimated by checking the variation of the empi