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Journal Articles Neural Networks Year : 2006

A descriptive method to evaluate the number of regimes in a switching autoregressive model

Abstract

This paper proposes a descriptive method for an open problem in time-series analysis : determining the number of regimes in a switching autoregressive model. We will translate this problem into a classification one and define a criterion for hierarchically clustering different model fittings. Finally, the method will be tested on simulated examples and real-life data.
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Dates and versions

hal-00133172 , version 1 (01-03-2007)

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Madalina Olteanu. A descriptive method to evaluate the number of regimes in a switching autoregressive model. Neural Networks, 2006, 19, pp.963-972. ⟨10.1016/j.neunet.2006.05.019⟩. ⟨hal-00133172⟩
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