Chen, Cathy W. S.; So, Mike K. P. - In: Journal of Forecasting 22 (2003) 1, pp. 49-66
We develop in this paper an efficient way to select the best subset threshold autoregressive model. The proposed method uses a stochastic search idea. Differing from most conventional approaches, our method does not require us to fix the delay or the threshold parameters in advance. By adopting...