Nested threshold autoregressive (NeTAR) models

International Journal of Forecasting

Volumn 13, Issue 1, 1997, Pages 105-116

  Astatkie, T ^a   Watts, D G ^b   Watt, W E ^b  

^a DALHOUSIE UNIVERSITY   (Canada)

^b QUEEN S UNIVERSITY   (Canada)

Author keywords

Forecasting; Non linearity; Streamflow; Supersmoother; Threshold time series

Indexed keywords

EID: 0031093163     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(96)00716-9     Document Type: Article

References (7)

1. Astatkie, T., 1994, Modulated threshold time series models with applications in hydrology, unpublished Ph.D. thesis, Queen's University at Kingston, Canada.
2. Breiman, L. and S. Peters, 1992, Comparing automatic smoothers (A public service enterprise), International Statistical Review, 60, No. 3, 271-290.
3. Chen, R. and R. Tsay, 1993, Nonlinear additive ARX models, Journal of the American Statistical Association, 88, 955-967.
4. Friedman, J. H., 1984, A variable span smoother, Technical report No. 5, Laboratory for Computational Statistics, Department of Statistics, Stanford University, Stanford, CA.
5. Lewis, P.A.W. and J.G. Stevens, 1991, Nonlinear modeling of time series using multivariate adaptive regression splines (MARS), Journal of the American Statistical Association, 86, 864-877.
6. Tong, H., 1990, Nonlinear Time Series: A Dynamical System Approach (Oxford University Press, New York).
7. Tong, H., B. Thanoon and G. Gudmundsson, 1985, Threshold time series modeling of two Icelandic riverflow systems, in: K.W. Hipel, ed., Water Resources Bulletin, Time Series Analysis in Water Resources (American Water Resources Association) 21, 651-661.