Forecasting with Multivariate Threshold Autoregressive Models
An important stage in the analysis of time series is the forecasting. How- ever, the forecasting in non-linear time series models is not straightforward as in linear time series models because an exact analytical of the conditional expectation is not easy to obtain. Therefore, a strategy of forecast...
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| Veröffentlicht in: | Revista Colombiana de estadística 2021-12, Vol.44 (2), p.369-383 |
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| creator | Calderon, Sergio Nieto, Fabio H. |
| description | An important stage in the analysis of time series is the forecasting. How- ever, the forecasting in non-linear time series models is not straightforward as in linear time series models because an exact analytical of the conditional expectation is not easy to obtain. Therefore, a strategy of forecasting with multivariate threshold autoregressive(MTAR) models is proposed via predictive distributions through Bayesian approach. This strategy gives us the forecast for the response and exogenous vectors. The coverage percentages of the forecast intervals and the variability of the predictive distributions are analysed in this work. An application to Hydrology is presented.
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| doi_str_mv | 10.15446/rce.v44n2.91356 |
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| subjects | Autoregressive models Bayesian analysis Forecasting Hydrology Multivariate analysis Time series |
| title | Forecasting with Multivariate Threshold Autoregressive Models |
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