A Combinatorial Approach to Piecewise Linear Time Series Analysis
Over recent years, several nonlinear time series models have been proposed in the literature. One model that has found a large number of successful applications is the threshold autoregressive model (TAR). The TAR model is a piecewise linear process whose central idea is to change the parameters of a linear autoregressive model according to the value of an observable variable, called the threshold variable. If this variable is a lagged value of the time series, the model is called a self-exciting threshold autoregressive (SETAR) model. In this paper, we propose a heuristic to estimate a more general SETAR model, where the thresholds are multivariate. We formulated the task of finding multivariate thresholds as a combinatorial optimization problem. We developed an algorithm based on a Greedy Randomized Adaptive Search Procedure (GRASP) to solve the problem. GRASP is an iterative randomized sampling technique that has been shown to quickly produce good quality solutions for a wide variety of optimization problems. The proposed model performs well on both simulated and real data.
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|Date of creation:||26 Jun 2000|
|Date of revision:|
|Publication status:||Published in Journal of Computational and Graphical Statistics, 2002, pages 236-258.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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