Nested sub-sample search algorithm for estimation of threshold models

Li, Dong; Tong, Howell

doi:10.5705/ss.2013.394t

Cited by 20 publications

(16 citation statements)

References 36 publications

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“…In this section, we propose a modeling procedure for the MHAR model by leveraging the computational efficient algorithm of Li and Tong (2016) and the procedure for modeling multivariate TAR model in Tsay (1998).…”

Section: A Modeling Proceduresmentioning

confidence: 99%

“…Otherwise, y t is threshold nonlinear with threshold variable x t ⊂ y t . Step 3a is carried out by the nested sub-sampling search (NeSS) algorithm of Li and Tong (2016), which is an efficient way to search for the threshold for a two-regime TAR model, especially when the sample size is large. See 2016) is an efficient algorithm for a given threshold variable with a single threshold.…”

Section: A Modeling Proceduresmentioning

confidence: 99%

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Multivariate Hysteretic Autoregressive Models

Tsay¹

2020

STAT SINICA

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This paper proposes a multivariate hysteretic autoregressive model with multiple threshold variables for modeling nonlinear time series. The proposed model encompasses the 2-regime multivariate threshold autoregressive model and the hysteretic autoregressive model as special cases. A special feature of the proposed model is that it employs multiple threshold variables each with a single threshold value. The resulting model is more flexible, yet parsimonious, than several multivariate nonlinear time series models available in the literature. The paper also studies some basic properties of the proposed model, uses conditional least squares estimation, and proposes a modeling procedure. Finally, we demonstrate the applications of the proposed model via simulated and real examples.

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Section: A Modeling Proceduresmentioning

confidence: 99%

Section: A Modeling Proceduresmentioning

confidence: 99%

Multivariate Hysteretic Autoregressive Models

Tsay¹

2020

STAT SINICA

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“…Manaa and Bentarzi [ 26 ] established the existence of high moment and the strict periodic stationarity for the PSETINAR

processes. The CLS and CML methods are applied to estimate the parameters while using the nested sub-sample search (NeSS) algorithm proposed by Li and Tong [ 27 ] to estimate the periodic threshold parameters. A drawback of this PSETINAR

model is that the mean and variance of Poisson distribution are equal, which is not always true in the real data.…”

Section: Introductionmentioning

confidence: 99%

Statistical Inference for Periodic Self-Exciting Threshold Integer-Valued Autoregressive Processes

Liu

Cheng

Wang

2021

Entropy

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This paper considers the periodic self-exciting threshold integer-valued autoregressive processes under a weaker condition in which the second moment is finite instead of the innovation distribution being given. The basic statistical properties of the model are discussed, the quasi-likelihood inference of the parameters is investigated, and the asymptotic behaviors of the estimators are obtained. Threshold estimates based on quasi-likelihood and least squares methods are given. Simulation studies evidence that the quasi-likelihood methods perform well with realistic sample sizes and may be superior to least squares and maximum likelihood methods. The practical application of the processes is illustrated by a time series dataset concerning the monthly counts of claimants collecting short-term disability benefits from the Workers’ Compensation Board (WCB). In addition, the forecasting problem of this dataset is addressed.

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“…Most of the modelling methods depend on curve-fitting of the melatonin profile and/or the crossing of a threshold to determine phase. The simple threshold interpolation is one of the most widely used for the DLMO description in endogenous melatonin secretion [ 8 , 9 ], though it is claimed to be less accurate than the more flexible curve-fitting models [ 10 , 11 ].…”

Section: Introductionmentioning

confidence: 99%

Circadian Profile of Salivary Melatonin Secretion in Hypoxic Ischemic Encephalopathy

Kapek

Paprocka

Kijonka

et al. 2020

International Journal of Endocrinology

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Purpose. In the present study, the salivary melatonin secretion in the hypoxic ischemic encephalopathy (HIE) children was measured. The logit model was fitted to the data to obtain the salivary dim light melatonin onsets (DLMOs), and the results were compared with the values estimated from the classic threshold method with a linear interpolation and those previously published for the blood measurements. Materials and Methods. 9 patients suffering from HIE aged from 65 to 80 months were included in the study. The melatonin levels were assessed by a radioimmunoassay (RIA). The diurnal melatonin secretion was estimated using a nonlinear least squares method. Student’s t-test and the Mann–Whitney U test were used for the comparisons of the obtained parameters. Results. The circadian profiles of the melatonin secretion for both calculation methods do not differ statistically. The DLMO parameters obtained in the blood and saliva samples in children with hypoxic ischemic encephalopathy were similar.

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Nested sub-sample search algorithm for estimation of threshold models

Cited by 20 publications

References 36 publications

Multivariate Hysteretic Autoregressive Models

Multivariate Hysteretic Autoregressive Models

Statistical Inference for Periodic Self-Exciting Threshold Integer-Valued Autoregressive Processes

Circadian Profile of Salivary Melatonin Secretion in Hypoxic Ischemic Encephalopathy

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