{"title":"Forecasting with Multivariate Threshold Autoregressive Models","authors":"Sergio Calderon, Fabio H. Nieto","doi":"10.15446/RCE.V44N2.91356","DOIUrl":null,"url":null,"abstract":"\n \n \nAn 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. \n \n \n \n \n \n \n \n \n \n","PeriodicalId":54477,"journal":{"name":"Revista Colombiana De Estadistica","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Revista Colombiana De Estadistica","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.15446/RCE.V44N2.91356","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 0
Abstract
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.
期刊介绍：
The Colombian Journal of Statistics publishes original articles of theoretical, methodological and educational kind in any branch of Statistics. Purely theoretical papers should include illustration of the techniques presented with real data or at least simulation experiments in order to verify the usefulness of the contents presented. Informative articles of high quality methodologies or statistical techniques applied in different fields of knowledge are also considered. Only articles in English language are considered for publication.
The Editorial Committee assumes that the works submitted for evaluation
have not been previously published and are not being given simultaneously for publication elsewhere, and will not be without prior consent of the Committee, unless, as a result of the assessment, decides not publish in the journal. It is further assumed that when the authors deliver a document for publication in the Colombian Journal of Statistics, they know the above conditions and agree with them.
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