Estimation of Right-censored SETAR-type Nonlinear Time-series Model
This paper focuses on estimating the Self-Exciting Threshold Autoregressive (SETAR) type time-series model under right-censored data. As is known, the SETAR model is used when the underlying function of the relation-ship between the time-series itself (Yt), and its p delays (Yt−j)j=1p$$({Y_{t - j}})...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
EDP Sciences
2023-01-01
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Series: | E3S Web of Conferences |
Subjects: | |
Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2023/46/e3sconf_icmsem2023_02010.pdf |