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January 1, 1988Journal of the Royal Statistical Society Series D (The Statistician)

An Automatic Procedure for Identification, Estimation and Forecasting Univariate Self Exiting Threshold Autoregressive Models

Neville Davies John Pemberton Joseph D. Petruccelli

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Abstract

N. Davies, J. Pemberton, J. D. Petruccelli, An Automatic Procedure for Identification, Estimation and Forecasting Univariate Self Exiting Threshold Autoregressive Models, Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 37, No. 2, Special Issue: Statistical Forecasting and Decision-Making (1988), pp. 199-204

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Davies et al. (1988) studied this question.

synapsesocial.com/papers/6a7255e5660549caf2c693c6 https://doi.org/10.2307/2348693

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