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Article: Double Generalized Threshold Models with constraint on the dispersion by the mean

TitleDouble Generalized Threshold Models with constraint on the dispersion by the mean
Authors
Issue Date2015
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda
Citation
Computational Statistics & Data Analysis, 2015, v. 82, p. 59-73 How to Cite?
AbstractGeneralized Threshold Model (GTM) is a non-linear time series model which generalizes the Threshold Autoregressive Model (TAR) to implement the idea of the Generalized Linear Model under the threshold time series framework. However, the dispersion parameter is usually assumed as constant in the context of Generalized Linear Model which does not hold in general. In this paper, the GTM is extended to a Double Generalized Threshold Model (DGTM) where the dispersion parameter, defined as the expected deviance of the individual response about its mean, varies throughout the entire sample. The variation of the dispersion parameter can be predicted by another threshold type generalized linear model, which is interlinked with the threshold model for the mean and can be estimated simultaneously. © 2014 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/209822
ISSN
2015 Impact Factor: 1.179
2015 SCImago Journal Rankings: 1.283
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorWu, KYK-
dc.contributor.authorLi, WK-
dc.date.accessioned2015-05-18T03:26:29Z-
dc.date.available2015-05-18T03:26:29Z-
dc.date.issued2015-
dc.identifier.citationComputational Statistics & Data Analysis, 2015, v. 82, p. 59-73-
dc.identifier.issn0167-9473-
dc.identifier.urihttp://hdl.handle.net/10722/209822-
dc.description.abstractGeneralized Threshold Model (GTM) is a non-linear time series model which generalizes the Threshold Autoregressive Model (TAR) to implement the idea of the Generalized Linear Model under the threshold time series framework. However, the dispersion parameter is usually assumed as constant in the context of Generalized Linear Model which does not hold in general. In this paper, the GTM is extended to a Double Generalized Threshold Model (DGTM) where the dispersion parameter, defined as the expected deviance of the individual response about its mean, varies throughout the entire sample. The variation of the dispersion parameter can be predicted by another threshold type generalized linear model, which is interlinked with the threshold model for the mean and can be estimated simultaneously. © 2014 Elsevier B.V. All rights reserved.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/csda-
dc.relation.ispartofComputational Statistics & Data Analysis-
dc.titleDouble Generalized Threshold Models with constraint on the dispersion by the mean-
dc.typeArticle-
dc.identifier.emailWu, KYK: karlwu@hku.hk-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.doi10.1016/j.csda.2014.08.003-
dc.identifier.scopuseid_2-s2.0-84907902171-
dc.identifier.hkuros243184-
dc.identifier.volume82-
dc.identifier.spage59-
dc.identifier.epage73-
dc.identifier.isiWOS:000347363300005-
dc.publisher.placeNetherlands-

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