Forecasting for quantile self-exciting threshold autoregressive time series models

Yuzhi Cai

Biometrika, 2010, vol. 97, issue 1, 199-208

Abstract: Self-exciting threshold autoregressive time series models have been used extensively, and the conditional mean obtained from these models can be used to predict the future value of a random variable. In this paper we consider quantile forecasts of a time series based on the quantile self-exciting threshold autoregressive time series models proposed by Cai and Stander (2008) and present a new forecasting method for them. Simulation studies and application to real time series show that the method works very well. Copyright 2010, Oxford University Press.

Date: 2010
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