Multivariate Self–Exciting Threshold Autoregressive Models with eXogenous Input | Dr. Peter Martey Addo

Multivariate Self–Exciting Threshold Autoregressive Models with eXogenous Input

Abstract

This study defines a multivariate Self-Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditions for stationarity of the nonlinear MSETARX models is provided. In particular, the efficiency of an adaptive parameter estimation algorithm and LSE (least squares estimate) algorithm for this class of models is then provided via simulations.

Publication
arXiv:1407.7738
Avatar
Peter Martey Addo
Senior Data Scientist

I am keen on ways we can leverage data and emerging technologies to improve people’s lives.