Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151107 | Statistical Methodology | 2008 | 14 Pages |
Abstract
The forecasting stage in the analysis of a univariate threshold-autoregressive model, with exogenous threshold variable, has been developed in this paper via the computation of the so-called predictive distributions. The procedure permits one to forecast simultaneously the response and exogenous variables. An important issue in this work is the treatment of eventual missing observations present in the two time series before obtaining forecasts.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fabio H. Nieto,