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Article: Threshold variable selection using nonparametric methods

TitleThreshold variable selection using nonparametric methods
Authors
KeywordsLocal linear smoother
Nonlinear time series
Single-index coefficient models
Threshold autoregressive (TAR) time series models
Issue Date2007
PublisherAcademia 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?
AbstractSelecting 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.
DescriptionSupplementary material (S39-S57) attached
Persistent Identifierhttp://hdl.handle.net/10722/57163
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorXia, Yen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorTong, Hen_HK
dc.date.accessioned2010-04-12T01:27:56Z-
dc.date.available2010-04-12T01:27:56Z-
dc.date.issued2007en_HK
dc.identifier.citationStatistica Sinica, 2007, v. 17 n. 1, p. 265-287en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/57163-
dc.descriptionSupplementary material (S39-S57) attacheden_HK
dc.description.abstractSelecting 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.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectLocal linear smootheren_HK
dc.subjectNonlinear time seriesen_HK
dc.subjectSingle-index coefficient modelsen_HK
dc.subjectThreshold autoregressive (TAR) time series modelsen_HK
dc.titleThreshold variable selection using nonparametric methodsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+methodsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.scopuseid_2-s2.0-34248524593en_HK
dc.identifier.hkuros126138-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34248524593&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue1en_HK
dc.identifier.spage265en_HK
dc.identifier.epage287en_HK
dc.identifier.isiWOS:000245739500017-
dc.publisher.placeTaiwan, Republic of Chinaen_HK
dc.identifier.scopusauthoridXia, Y=7403027730en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridTong, H=7201359749en_HK

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