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|Title:||Threshold variable selection using nonparametric methods||Authors:||Xia, Y.
|Keywords:||Local linear smoother
Nonlinear time series
Single-index coefficient models
Threshold autoregressive (TAR) time series models
|Issue Date:||Jan-2007||Citation:||Xia, Y.,Li, W.-K.,Tong, H. (2007-01). Threshold variable selection using nonparametric methods. Statistica Sinica 17 (1) : 265-287. ScholarBank@NUS Repository.||Abstract:||Selecting the threshold variable is a key step in building a generalized threshold autoregressive (TAR) model. This paper proposes a semi-parametric method for this purpose that is based on a single-index functional coefficient model. The asymptotic distribution of the estimator is obtained. A simple algorithm is given and its convergence is proved. Some simulations are reported. Two data sets are analyzed, one of which gives strong statistical support for ratio-dependent predation in Ecology.||Source Title:||Statistica Sinica||URI:||http://scholarbank.nus.edu.sg/handle/10635/105433||ISSN:||10170405|
|Appears in Collections:||Staff Publications|
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