Previous |  Up |  Next


time series; regime-switching model; aggregation operator; model adequacy testing
A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.
[1] Bacigál T.: Multivariate threshold autoregressive models in Geodesy. J. Electrical Engineering 55 (2004), 12/s, 91–94 Zbl 1071.37519
[2] Bacon D. W., Watts D. G.: Estimating the transition between two intersecting lines. Biometrica 58 (1971), 525–534
[3] Bognár T.: Time Series Analysis Applied in Geodesy and Geodynamics. Ph.D. Thesis, Bratislava 2005
[4] Bognár T., Komorník, J., Komorníková M.: New STAR models of time series and their application in finance. In: Proc. 16th Symposium COMPSTAT 2004, Prague 2004 (J. Antoch, ed.), Physica-Verlag, Heidelberg 2004, pp. 713–720 MR 2173066
[5] Brown B. Y., Mariano R. S.: Predictors in dynamic nonlinear models: large sample behaviour. Econometric Theory 5 (1989), 430–452 MR 1029884
[6] Calvo T., Mesiar, R., (eds.) G. Mayor: Aggregation Operators (Studies in Fuzziness and Soft Computing 31). Physica–Verlag, Heidelberg 2002 MR 1936383
[7] Diebold F. X., Mariano R. S.: Comparing predictive accuracy. J. Business and Economic Statistics 13 (1995), 253–263
[8] Franses P. H., Dijk D.: Non-linear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge 2000
[9] Hansen B. E.: Inference in TAR models. Studies in Nonlinear Dynamic and Econometrics 2 (1997), 1–14 MR 1467458 | Zbl 1078.91558
[10] Hansen B. E.: Sample splitting and threshold estimation. Econometrica 68 (2000), 3, 575–603 MR 1769379 | Zbl 1056.62528
[11] Komorníková M., Komorník J.: Application of aggregation operators in regime-switching models for exchange rates. In: Proc. EUSFLAT-LFA 2005, Barcelona 2005, pp. 1297–1300
[12] Komorník J., Komorníková, M., Szökeová D.: Testing the adequacy of regime-switching time series models nased on aggregation pperators. Submitted
[14] Teräsvirta T.: Specification, estimation, and evaluation of smooth transition models. J. Amer. Statist. Assoc. 89 (1994), 208–218
[15] Tong H.: On a threshold model. In: Pattern Recognition and Signal Processing (C. H. Chen, ed.), Amsterdam 1978, pp. 101–141
[16] Tong H.: Non-linear Time Series: A Dynamical Systems Approach. Oxford University Press, Oxford 1990
[17] Tsay R. S.: Testing and modeling multivariate threshold models. J. Amer. Statist. Assoc. 93 (1998), 1188–1202 MR 1649212 | Zbl 1063.62578
Partner of
EuDML logo