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In this paper we studied about the wavelet identification of the thresholdsand time delay for more general case without the constraint that the time delayis smaller than the order of the model. Here we composed an empirical waveletfrom the SETAR (Self-Exciting Threshold Autoregressive) model and identifiedthe thresholds and time delay in the model using it.

The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet