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A NOTE ON USING THRESHOLD AUTOREGRESSIVE MODELS FOR MULTI‐STEP‐AHEAD PREDICTION OF CYCLICAL DATA
Author(s) -
Tong H.
Publication year - 1982
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1982.tb00335.x
Subject(s) - autoregressive model , star model , mathematics , setar , range (aeronautics) , econometrics , series (stratigraphy) , class (philosophy) , time series , autoregressive integrated moving average , statistics , computer science , artificial intelligence , engineering , paleontology , biology , aerospace engineering
. We give a brief account of how the class of threshold autoregressive time series models may be used to make short, medium and long range predictions of cyclical data.