selectSETAR {tsDyn} | R Documentation |
Automatic selection of SETAR hyper-parameters
selectSETAR(x, m, d=1, steps=d, thSteps=7, mL = 1:m, mH = 1:m, th=quantile(x, prob=seq(0.15, 0.85, length=thSteps) ), thDelay=0:(m-1), criterion=c("pooled-AIC","AIC"))
x |
time series |
m, d, steps |
embedding parameters. For their meanings, see help about nlar |
thSteps |
Number of steps along different values of threshold
(if th omitted) |
th |
Vector of threshold values |
mL,mH |
Vector of ‘low’ and ‘high’ regimes autoregressive orders |
thDelay |
Vector of ‘threshold delay’ values |
criterion |
Model selection criterion |
Routine for automatic selection of SETAR models hyper parameters.
An exhaustive search over all possible combinations of values of specified hyper-parameters is performed.
Embedding parameters m,d,steps
are kept fixed.
Possible criteria are the usual AIC and a pooled AIC formula: AIC(low regime model) + AIC(high regime model). The default criterion is the pooled AIC formula.
A data-frame, with columns giving hyper-parameter values and the computed AIC for each row (only the best 10s are returned)
Antonio, Fabio Di Narzo
llynx <- log10(lynx) selectSETAR(llynx, m=2) #Suggested model is the following: setar(llynx, m=2, thDelay=1, th=3.4)