The performance of the Akaike information criterion in threshold modelling is studied using simulation. Particular attention is paid to the effects of autoregressive parameters, the maximum order entertained, and the choice of possible candidates for the delay and threshold parameters in the procedure. Copyright © 1988 Springer-Verlag.
|Title of host publication||Nonlinear time series and signal processing|
|Editors||R. R. MOHLER|
|Place of Publication||Berlin|
|Publication status||Published - 1988|