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Investigate Threshold AR Models #214

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antoinecarme opened this issue Aug 30, 2022 · 7 comments
Open

Investigate Threshold AR Models #214

antoinecarme opened this issue Aug 30, 2022 · 7 comments

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@antoinecarme
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antoinecarme commented Aug 30, 2022

Introduce some non-linear time series models. Two-regime threshold AR (TAR) models are good candidates.

Original Paper :

Howell Tong
Department of Statistics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong

Tong, H. (1983) Threshold Models in Nonlinear Time Series Analysis. Lecture Notes in Statistics, Springer-Verlag

https://link.springer.com/book/10.1007/978-1-4684-7888-4
https://link.springer.com/chapter/10.1007/978-1-4684-7888-4_3

A good reference is given by :

image

Nonlinear Time Series Analysis

Author(s):Ruey S. Tay, Rong Chen

https://onlinelibrary.wiley.com/doi/book/10.1002/9781119514312

@antoinecarme
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@antoinecarme
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@antoinecarme
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@antoinecarme
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Avoid reinventing the wheel.

Is there already a decent python implementation ?

@antoinecarme
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Impact on PyAF : TAR and TARX models.

@antoinecarme
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antoinecarme commented Aug 30, 2022

Model Parameters : Delay (d) and Threshold (r)

Explanation : Signal value d=7 days before was above or below threshold r => switch AR models.

The delay d has a functional meaning (business-related, control which AR model to use).

The threshold r can be chosen among signal quantiles (d = q_10, ...., q_90).

PyAF can generate different TAR models (test many values for d and r) simultaneously (parallelization OK).

@antoinecarme
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antoinecarme commented Aug 30, 2022

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