Birth of the Threshold Time Series Model

2009 ◽  
pp. 1-7
Author(s):  
Howell Tong
Keyword(s):  
Time Series ◽  
Time Series Model ◽  
Threshold Time ◽  
Threshold Time Series

GA-BASED TIME SERIES MODELS WITH THRESHOLD IN TWO DOMAINS

2009 ◽  
Vol 18 (04) ◽  
pp. 801-823
Author(s):  
MING SU ◽  
GARY G. YEN ◽  
R. R. RHINEHART
Keyword(s):  
Time Series ◽  
Arrival Time ◽  
Financial Time Series ◽  
Wave Pattern ◽  
Sine Wave ◽  
Proposed Model ◽  
Threshold Time ◽  
Partition Space ◽  
Threshold Time Series ◽  
Model Structures

A new threshold time series model is proposed whose submodels are extended from AR to SARIMA and whose domains having thresholds are extended to two. By these two extensions, the newly proposed models offer more flexibility to piecewisely approximate nonstationary time series by a finite number of local stationary models. A genetic algorithm is applied to simultaneously search for appropriate model structures, estimate the optimal model coefficients, as well as partition space by finding appropriate thresholds. The resulting model is applied to a synthetic multi-frequency sine wave and two financial time series with improved modeling quality. The proposed model is also applied to seismogram analysis in order to recognize earthquake wave pattern related to locate arrival time of different waves.

Spatial quantile estimation of multivariate threshold time series models

2017 ◽  
Vol 486 ◽  
pp. 772-781 ◽  
Author(s):  
Jiancheng Jiang ◽  
Xuejun Jiang ◽  
Jingzhi Li ◽  
Yi Liu ◽  
Wanfeng Yan
Keyword(s):  
Time Series ◽  
Quantile Estimation ◽  
Time Series Models ◽  
Threshold Time ◽  
Threshold Time Series

scholarly journals A review of threshold time series models in finance

2011 ◽  
Vol 4 (2) ◽  
pp. 167-181 ◽  
Author(s):  
Cathy W. S. Chen ◽  
Feng-Chi Liu ◽  
Mike K. P. So
Keyword(s):  
Time Series ◽  
Time Series Models ◽  
Threshold Time ◽  
Threshold Time Series
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