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

K.Y.K. WU, Wai Keung LI

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1 Citation (Scopus)

Abstract

Generalized 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. Copyright © 2014 Elsevier B.V. All rights reserved.
Original languageEnglish
Pages (from-to)59-73
JournalComputational Statistics and Data Analysis
Volume82
Early online dateAug 2014
DOIs
Publication statusPublished - Feb 2015

Citation

Wu, K. Y. K., & Li, W. K. (2015). Double Generalized Threshold Models with constraint on the dispersion by the mean. Computational Statistics and Data Analysis, 82, 59-73. doi: 10.1016/j.csda.2014.08.003

Keywords

  • Generalized Threshold Model
  • Non-linear time series
  • Fukushima nuclear disaster

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