An alternative sequential method for the state estimation of a partially observed SETAR(1) process

Paula Milheiro-Oliveira

Statistics & Probability Letters, 2022, vol. 184, issue C

Abstract: We discuss a novel sequential test based on the quadratic variation of the observations to decide which regime governs the dynamics of the non-observed process in a filtering problem with small observation noise. The non-observed state process is a self-exciting threshold autoregressive process of order one (SETAR(1)) with two regimes. The observation function is not one-to-one. The proposed procedure performs well and may be competitive in some applications.

Keywords: Threshold models; Partial observations; Nonlinear filtering; Hypothesis testing (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109385

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