Threshold Models
Bibliographic Data
| ID | 23627906 |
|---|---|
| Authors | Ruey S Tsay (0000-0002-4949-4035, University of Illinois Chicago, corresponding author) |
| Year | 2015 |
| Pages | 1-3 |
| Publication date | 2015-01-21 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | CHAPTER |
| Venue | Wiley Encyclopedia of Management (SOURCE_BOOK) |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/9781118785317.weom040076 |
| OpenAlex | W4247286389 |
| ISBN | 9781118785317 |
| Language | EN |
| References cited | 7 |
Nonlinearity is common in time‐series application and forecasting. Threshold autoregressive model is a widely applicable simple nonlinear time series model. It can adequately describe many nonlinear features commonly observed in practice. In this article, we briefly introduce the concept of threshold autoregressive models and discuss their applications in finance. The same idea applies to many other scientific fields.
Autoregressive integrated moving average · Autoregressive model · Econometrics · Epistemology · Machine learning · Nonlinear system · Physics · Series (stratigraphy) · SETAR · Simple (philosophy) · STAR model · Threshold model · Time series · Applied Mathematics · Complex Systems and Time Series Analysis · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Philosophy
| Citation velocity | historical |
|---|---|
| Highly cited | No |