Discontinuous decision processes and threshold autoregressive time series modelling
نویسندگان
چکیده
منابع مشابه
Multivariate Autoregressive Modelling of fMRI time series
We propose the use of Multivariate Autoregressive (MAR) models of fMRI time series to make inferences about functional integration within the human brain. The method is demonstrated with synthetic and real data showing how such models are able to characterise inter-regional dependence. We extend linear MAR models to accommodate nonlinear interactions to model top-down modulatory processes with ...
متن کاملModelling of an Epidemiological Time Series by a Threshold Autoregressive Model
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملSome Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
This paper introduces nonlinear threshold time series modeling techniques that actuaries can use in pricing insurance products, analyzing the results of experience studies, and forecasting actuarial assumptions. Basic “self-exciting” threshold autoregressive (SETAR) models, as well as heteroscedastic and multivariate SETAR processes, are discussed. Modeling techniques for each class of models a...
متن کاملNumerical Issues in Threshold Autoregressive Modeling of Time Series
This paper analyses the contribution of various numerical approaches in making the estimation of threshold autoregressive time series more efficient. It relies on the computational advantages of QR factorizations and proposes Givens transformations to update these factors for sequential LS problems. By showing that the residual sum of squares is a continuous rational function over threshold int...
متن کاملTesting and Modeling Threshold Autoregressive Processes
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Biometrika
سال: 1982
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/69.1.274