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Article: Threshold variable selection using nonparametric methods
Title | Threshold variable selection using nonparametric methods |
---|---|
Authors | |
Keywords | Local linear smoother Nonlinear time series Single-index coefficient models Threshold autoregressive (TAR) time series models |
Issue Date | 2007 |
Publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ |
Citation | Statistica Sinica, 2007, v. 17 n. 1, p. 265-287 How to Cite? |
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. |
Description | Supplementary material (S39-S57) attached |
Persistent Identifier | http://hdl.handle.net/10722/57163 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.368 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Xia, Y | en_HK |
dc.contributor.author | Li, WK | en_HK |
dc.contributor.author | Tong, H | en_HK |
dc.date.accessioned | 2010-04-12T01:27:56Z | - |
dc.date.available | 2010-04-12T01:27:56Z | - |
dc.date.issued | 2007 | en_HK |
dc.identifier.citation | Statistica Sinica, 2007, v. 17 n. 1, p. 265-287 | en_HK |
dc.identifier.issn | 1017-0405 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/57163 | - |
dc.description | Supplementary material (S39-S57) attached | en_HK |
dc.description.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. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ | en_HK |
dc.relation.ispartof | Statistica Sinica | en_HK |
dc.subject | Local linear smoother | en_HK |
dc.subject | Nonlinear time series | en_HK |
dc.subject | Single-index coefficient models | en_HK |
dc.subject | Threshold autoregressive (TAR) time series models | en_HK |
dc.title | Threshold variable selection using nonparametric methods | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=17&issue=1&spage=265&epage=287&date=2007&atitle=Threshold+variable+selection+using+nonparametric+methods | en_HK |
dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
dc.identifier.authority | Li, WK=rp00741 | en_HK |
dc.description.nature | published_or_final_version | en_HK |
dc.identifier.scopus | eid_2-s2.0-34248524593 | en_HK |
dc.identifier.hkuros | 126138 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-34248524593&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 17 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 265 | en_HK |
dc.identifier.epage | 287 | en_HK |
dc.identifier.isi | WOS:000245739500017 | - |
dc.publisher.place | Taiwan, Republic of China | en_HK |
dc.identifier.scopusauthorid | Xia, Y=7403027730 | en_HK |
dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
dc.identifier.scopusauthorid | Tong, H=7201359749 | en_HK |
dc.identifier.issnl | 1017-0405 | - |