Applications of regime-switching models based on aggregation operators

Jozef Komorník; Magda Komorníková

Kybernetika (2007)

  • Volume: 43, Issue: 4, page 431-442
  • ISSN: 0023-5954

Abstract

top
A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.

How to cite

top

Komorník, Jozef, and Komorníková, Magda. "Applications of regime-switching models based on aggregation operators." Kybernetika 43.4 (2007): 431-442. <http://eudml.org/doc/33868>.

@article{Komorník2007,
abstract = {A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.},
author = {Komorník, Jozef, Komorníková, Magda},
journal = {Kybernetika},
keywords = {time series; regime-switching model; aggregation operator; model adequacy testing; time series; regime-switching model; aggregation operator; model adequacy; testing},
language = {eng},
number = {4},
pages = {431-442},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Applications of regime-switching models based on aggregation operators},
url = {http://eudml.org/doc/33868},
volume = {43},
year = {2007},
}

TY - JOUR
AU - Komorník, Jozef
AU - Komorníková, Magda
TI - Applications of regime-switching models based on aggregation operators
JO - Kybernetika
PY - 2007
PB - Institute of Information Theory and Automation AS CR
VL - 43
IS - 4
SP - 431
EP - 442
AB - A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented.
LA - eng
KW - time series; regime-switching model; aggregation operator; model adequacy testing; time series; regime-switching model; aggregation operator; model adequacy; testing
UR - http://eudml.org/doc/33868
ER -

References

top
  1. Bacigál T., Multivariate threshold autoregressive models in Geodesy, J. Electrical Engineering 55 (2004), 12/s, 91–94 Zbl1071.37519
  2. Bacon D. W., Watts D. G., Estimating the transition between two intersecting lines, Biometrica 58 (1971), 525–534 (1971) 
  3. Bognár T., Time Series Analysis Applied in Geodesy and Geodynamics, Ph.D. Thesis, Bratislava 2005 
  4. Bognár T., Komorník, J., Komorníková M., New STAR models of time series and their application in finance, In: Proc. 16th Symposium COMPSTAT 2004, Prague 2004 (J. Antoch, ed.), Physica-Verlag, Heidelberg 2004, pp. 713–720 MR2173066
  5. Brown B. Y., Mariano R. S., Predictors in dynamic nonlinear models: large sample behaviour, Econometric Theory 5 (1989), 430–452 (1989) MR1029884
  6. Calvo T., Mesiar, R., (eds.) G. Mayor, Aggregation Operators (Studies in Fuzziness and Soft Computing 31), Physica–Verlag, Heidelberg 2002 MR1936383
  7. Diebold F. X., Mariano R. S., Comparing predictive accuracy, J. Business and Economic Statistics 13 (1995), 253–263 (1995) 
  8. Franses P. H., Dijk D., Non-linear Time Series Models in Empirical Finance, Cambridge University Press, Cambridge 2000 
  9. Hansen B. E., Inference in TAR models, Studies in Nonlinear Dynamic and Econometrics 2 (1997), 1–14 (1997) Zbl1078.91558MR1467458
  10. Hansen B. E., Sample splitting and threshold estimation, Econometrica 68 (2000), 3, 575–603 Zbl1056.62528MR1769379
  11. Komorníková M., Komorník J., Application of aggregation operators in regime-switching models for exchange rates, In: Proc. EUSFLAT-LFA 2005, Barcelona 2005, pp. 1297–1300 
  12. Komorník J., Komorníková, M., Szökeová D., Testing the adequacy of regime-switching time series models nased on aggregation pperators, Submitted 
  13. Teräsvirta T., Specification, estimation, and evaluation of smooth transition models, J. Amer. Statist. Assoc. 89 (1994), 208–218 (1994) 
  14. Tong H., On a threshold model, In: Pattern Recognition and Signal Processing (C. H. Chen, ed.), Amsterdam 1978, pp. 101–141 (1978) 
  15. Tong H., Non-linear Time Series: A Dynamical Systems Approach, Oxford University Press, Oxford 1990 
  16. Tsay R. S., Testing and modeling multivariate threshold models, J. Amer. Statist. Assoc. 93 (1998), 1188–1202 (1998) Zbl1063.62578MR1649212

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.