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Subset Threshold Autoregression With Applications

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  • B. Y. Thanoon

Abstract

. In this paper we define subset threshold autoregressive models and suggest a simple algorithm for fitting them. The suggested algorithm is applied to simulated as well as real data. Two well‐known time series are studied:the Canadian lynx data and Wolf's sunspot numbers. The fitted models are compared with the threshold models of Tong and Lim and with the subset bilinear models of Gabr and Subba Rao. Some statistical properties of these models are also studied. An examination of forecasting performance is included.

Suggested Citation

  • B. Y. Thanoon, 1990. "Subset Threshold Autoregression With Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(1), pages 75-87, January.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:1:p:75-87
    DOI: 10.1111/j.1467-9892.1990.tb00043.x
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    Cited by:

    1. Ayman A. Amin & Walid Emam & Yusra Tashkandy & Christophe Chesneau, 2023. "Bayesian Subset Selection of Seasonal Autoregressive Models," Mathematics, MDPI, vol. 11(13), pages 1-13, June.
    2. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2004. "Estimating threshold subset autoregressive moving-average models by genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 39-61.
    3. Cathy W. S. Chen & Mike K. P. So, 2003. "Subset threshold autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 49-66.

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