On robust estimation of threshold autoregressions
作者:
Wai‐Sum Chan,
Siu‐Hung Cheung,
期刊:
Journal of Forecasting
(WILEY Available online 1994)
卷期:
Volume 13,
issue 1
页码: 37-49
ISSN:0277-6693
年代: 1994
DOI:10.1002/for.3980130106
出版商: John Wiley&Sons, Ltd.
关键词: Non‐linear time series;Additive outliers;Robust estimation;Threshold autoregression
数据来源: WILEY
摘要:
AbstractWe investigate the effects of additive outliers on the least squares (LS) estimation of threshold autoregressive models. The class of generalized‐M (GM) estimates for linear time series is modified and applied to non‐linear threshold processes. A Monte Carlo experiment is carried out to study the robust properties of these estimates. Their relative forecasting performances are also examined. The results indicate that the GM method is preferable to the LS estimation when the observations are contaminated by additive outliers. A real example is also given to illustrate the proposed met
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