کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
414958 | 681126 | 2015 | 15 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Double Generalized Threshold Models with constraint on the dispersion by the mean Double Generalized Threshold Models with constraint on the dispersion by the mean](/preview/png/414958.png)
Generalized Threshold Model (GTM) is a non-linear time series model which generalizes the Threshold Autoregressive Model (TAR) to implement the idea of the Generalized Linear Model under the threshold time series framework. However, the dispersion parameter is usually assumed as constant in the context of Generalized Linear Model which does not hold in general. In this paper, the GTM is extended to a Double Generalized Threshold Model (DGTM) where the dispersion parameter, defined as the expected deviance of the individual response about its mean, varies throughout the entire sample. The variation of the dispersion parameter can be predicted by another threshold type generalized linear model, which is interlinked with the threshold model for the mean and can be estimated simultaneously.
Journal: Computational Statistics & Data Analysis - Volume 82, February 2015, Pages 59–73