The Identification of Thresholds and Time Delay in Self-Exciting Threshold AR Model by Wavelet
AbstractIn this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here we composed an empirical wavelet from the SETAR (Self-Exciting Threshold Autoregressive) model and identified the thresholds and time delay in the model using it.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1303.4867.
Date of creation: Mar 2013
Date of revision: Nov 2013
Publication status: Published in International Symposium in Commemoration of the 65th Anniversary of the Foundation of Kim Il Sung University (Mathematics), 20-21. Sep. Juche100(2011) Pyongyang DPR Korea, 92-95pp
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
- NEP-ECM-2013-03-23 (Econometrics)
- NEP-ETS-2013-03-23 (Econometric Time Series)
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