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.
Origin : Files produced by the author(s)
Loading...