自回归模型
期货合约
计量经济学
SETAR公司
系列(地层学)
阈值模型
数学
计算机科学
时间序列
自回归积分移动平均
星型
统计
经济
古生物学
金融经济学
生物
作者
Xi Li,Yin Liu,Zhanshou Chen,Xinyu Zhang
出处
期刊:Stat
[Wiley]
日期:2023-01-01
卷期号:12 (1)
摘要
The threshold autoregressive (TAR) model has received considerable attention in nonlinear time series literature. To weaken the impacts coming from model uncertainty and to improve the prediction accuracy, this paper develops a leave‐ ‐out forward‐validation model averaging (LhoFVMA) method to average predictions from the TAR model. We establish our method's asymptotic optimality in the sense of achieving the lowest possible squared prediction risk. Simulation experiments show that our method is generally more efficient than other methods. For illustration, we future apply the proposed method to the basis of CSI 300 stock index futures.
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