Work

Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input

Year: 2014

Type: preprint

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.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1407.7738

Author: Addo, Peter Martey

Institutions: Centre National de la Recherche Scientifique, Ca' Foscari University of Venice, Centre d'Économie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne

Language: English

Topic: Control Systems and Identification

Subfield: Control and Systems Engineering

Field: Engineering

Domain: Physical Sciences

Open Access status: green

OpenAlex ID: W31187182

Cites: 25

Cited by:

Related to: 20