The Conduct of Statistical Models when Parameters are Perturbed From Their True Values
DOI:
https://doi.org/10.54172/0pm5gm25Keywords:
SETAR models, A limit point, A limit cycle, SimulationAbstract
This paper aims to investigate the so-called non-linear properties of the skeleton of a non-linear autoregressive process, i.e., if . Setting the variance of , the skeleton of the process is obtained. Having fitted a self-exciting threshold autoregressive (SETAR) model to data and obtained a 95% confidence interval for parameters, we study the behaviour of non-linear properties, e.g., a limit cycle, amplitude dependency frequency, etc. We mainly consider a limit cycle for values of parameters at various locations within the confidence interval, or we may just slightly perturb model parameters from their true values.
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Copyright (c) 2023 Tarek Elghazali, ABDLMANAM ALMEHOB FAKRON (Author)
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