Threshold variable determination and threshold variable driven switching autoregressive models

Statistica Sinica

Volumn 17, Issue 1, 2007, Pages 241-264

  Wu, Senlin ^a   Chen, Rong ^a,b  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

^b PEKING UNIVERSITY   (China)

Author keywords

Model selection; Posterior BIC; Switching AR models; Threshold AR models

Indexed keywords

EID: 34248562535     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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