Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
Reference34 articles.
1. An entropy maximisation principle;Akaike,1977
2. Applied Statistics Algorithms, web site http://lib.stat.cmu.edu/apstat/. The routine RANDOM is the algorithm AS183 (Wichmann, B.A., Hill, I.D., 1982. An efficient and portable pseudo-random number generator. Applied Statistics, 31, 188–190; correction, 33 (1984), 123). An alternative is also provided by the real function UNIFORM (L'Ecuyer, P. Efficient and portable combined random number generators, C.A.C.M., vol. 31, 742–749 & 774-, June 1988). The routine PPND16 is the algorithm AS241 (Wichura, M. J., 1988. The percentage points of the normal distribution. Applied Statistics, 37, 477–484).
3. Functional-coefficient regression models for nonlinear time series;Cai;J. Amer. Statist. Assoc,2000
4. On robust estimation of threshold autoregressions;Chan;J. Forecasting,1994
5. On estimating thresholds in autoregressive models;Chan;J. Time Series Anal,1986
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