Hysteretic autoregressive time series models

• 成果类型: Article
• 署名作者: Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H.
• 署名单位: University of Hong Kong
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asv017
• 发表日期: 2015
• 页码: 717723
• 关键词: threshold moving-average; least-squares estimation; ergodicity; tests; cycle

摘要

This paper extends the classical two-regime threshold autoregressive model by introducing hysteresis to its regime-switching structure, which leads to a new model: the hysteretic autoregressive model. The proposed model enjoys the piecewise linear structure of a threshold model but has a more flexible regime switching mechanism. A sufficient condition is given for geometric ergodicity. Conditional least squares estimation is discussed, and the asymptotic distributions of its estimators and information criteria for model selection are derived. Simulation results and an example support the model.