Threshold Autoregression, Limit Cycles and Cyclical Data
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ID: 295815
1980
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Ranked #122 of 145 articles by views in Journal of the Royal Statistical Society Series B (Statistical Methodology)
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Abstract
Summary The notion of a limit cycle, which can only exist in a non-linear system, plays the key role in the modelling of cyclical data. We have shown that the class of threshold autoregressive models is general enough to capture this notion, a definition of which in discrete time is proposed. The threshold value has an interesting interpretation. Simulation results are presented which demonstrate that this new class of models exhibits some well-known features of non-linear vibrations. Detailed analyses of several real data sets are discussed.
| Reference Key |
openalex_W1606326889
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|---|---|
| Authors | H. Tong, K. S. Lim |
| Journal | Journal of the Royal Statistical Society Series B (Statistical Methodology) |
| Year | 1980 |
| DOI |
10.1111/j.2517-6161.1980.tb01126.x
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| URL | |
| Keywords | Keywords not found |
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