Nonlinear nonstationary models for time series are considered, where the series is generated from an autoregressive equation whose coefficients change both according to time and the delayed values of the series itself, switching between several regimes. The transition from one regime to the next one may be discontinuous (self-exciting threshold model), smooth (smooth transition model) or continuous linear (piecewise linear threshold model). A genetic algorithm for identifying and estimating such models is proposed, and its behavior is evaluated through a simulation study and application to temperature data and a financial index.
Multi-regime models for nonlinear nonstationary time series / Battaglia, Francesco; Protopapas, MATTHAIOS KONSTASNTINOS. - In: COMPUTATIONAL STATISTICS. - ISSN 0943-4062. - STAMPA. - 27:2(2012), pp. 319-341. [10.1007/s00180-011-0259-z]
Multi-regime models for nonlinear nonstationary time series
BATTAGLIA, Francesco;PROTOPAPAS, MATTHAIOS KONSTASNTINOS
2012
Abstract
Nonlinear nonstationary models for time series are considered, where the series is generated from an autoregressive equation whose coefficients change both according to time and the delayed values of the series itself, switching between several regimes. The transition from one regime to the next one may be discontinuous (self-exciting threshold model), smooth (smooth transition model) or continuous linear (piecewise linear threshold model). A genetic algorithm for identifying and estimating such models is proposed, and its behavior is evaluated through a simulation study and application to temperature data and a financial index.File | Dimensione | Formato | |
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