THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES

Vance Martin

Journal of Time Series Analysis, 1992, vol. 13, issue 1, 79-94

Abstract: Abstract. Recent contributions by Tong and others in modelling time series exhibiting threshold points have generally been based on approximating non‐linear processes by piecewise linear time series models. In this paper we provide an alternative framework in which to model time series displaying jump behaviour by using a multimodal conditional distribution to capture the jump process. Each subordinate model of the distribution is determined by an autoregressive process, and jump behaviour occurs when the relative heights of the modes of the distribution change whilst the threshold points are identified by the antimodes of the distribution. This class of models is referred to as multipredictor autoregressive time series (MATS).

Date: 1992
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