Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
The class of threshold autoregressive models has been proven to be a powerful and appropriate tool to describe many dynamical phenomena in different fields. In this work, we deploy the threshold autoregressive moving-average framework to revisit the analysis of the benchmark Canadian lynx time serie...
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| Format: | Article |
| Language: | English |
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University of Bologna
2021-03-01
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| Series: | Statistica |
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| Online Access: | https://rivista-statistica.unibo.it/article/view/11478 |
| _version_ | 1818457018196819968 |
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| author | Greta Goracci |
| author_facet | Greta Goracci |
| author_sort | Greta Goracci |
| collection | DOAJ |
| description | The class of threshold autoregressive models has been proven to be a powerful and appropriate tool to describe many dynamical phenomena in different fields. In this work, we deploy the threshold autoregressive moving-average framework to revisit the analysis of the benchmark Canadian lynx time series. This data set has attracted great attention among non-linear time series analysts due to its asymmetric cycle that makes the investigation very challenging. We compare some of the best threshold autoregressive models (TAR) proposed in literature with a selection of threshold
autoregressive moving-average models (TARMA). The models are compared under different prospectives: (i) goodness-of-fit through information criteria, (ii) their ability to reproduce characteristic cycles, (iv) their capability to capture multimodality and (iii) forecasting performance. We found TARMAmodels that perform better than TAR models with respect to all these aspects. |
| first_indexed | 2024-12-14T22:35:53Z |
| format | Article |
| id | doaj.art-3dd78340d06644fe9dda88f11c36ebc8 |
| institution | Directory Open Access Journal |
| issn | 0390-590X 1973-2201 |
| language | English |
| last_indexed | 2024-12-14T22:35:53Z |
| publishDate | 2021-03-01 |
| publisher | University of Bologna |
| record_format | Article |
| series | Statistica |
| spelling | doaj.art-3dd78340d06644fe9dda88f11c36ebc82022-12-21T22:45:08ZengUniversity of BolognaStatistica0390-590X1973-22012021-03-0180435739410.6092/issn.1973-2201/114789804Revisiting the Canadian Lynx Time Series Analysis Through TARMA ModelsGreta Goracci0 University of BolognaThe class of threshold autoregressive models has been proven to be a powerful and appropriate tool to describe many dynamical phenomena in different fields. In this work, we deploy the threshold autoregressive moving-average framework to revisit the analysis of the benchmark Canadian lynx time series. This data set has attracted great attention among non-linear time series analysts due to its asymmetric cycle that makes the investigation very challenging. We compare some of the best threshold autoregressive models (TAR) proposed in literature with a selection of threshold autoregressive moving-average models (TARMA). The models are compared under different prospectives: (i) goodness-of-fit through information criteria, (ii) their ability to reproduce characteristic cycles, (iv) their capability to capture multimodality and (iii) forecasting performance. We found TARMAmodels that perform better than TAR models with respect to all these aspects.https://rivista-statistica.unibo.it/article/view/11478population dynamicspredator-prey interactioncanadian lynx time seriesnonlinear time seriestarma processesasymmetric cycle |
| spellingShingle | Greta Goracci Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models Statistica population dynamics predator-prey interaction canadian lynx time series nonlinear time series tarma processes asymmetric cycle |
| title | Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models |
| title_full | Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models |
| title_fullStr | Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models |
| title_full_unstemmed | Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models |
| title_short | Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models |
| title_sort | revisiting the canadian lynx time series analysis through tarma models |
| topic | population dynamics predator-prey interaction canadian lynx time series nonlinear time series tarma processes asymmetric cycle |
| url | https://rivista-statistica.unibo.it/article/view/11478 |
| work_keys_str_mv | AT gretagoracci revisitingthecanadianlynxtimeseriesanalysisthroughtarmamodels |