tsDyn (version 0.5-7)

selectSETAR: Automatic selection of SETAR hyper-parameters

Description

Automatic selection of SETAR hyper-parameters

Usage

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"))

Arguments

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

Value

• A data-frame, with columns giving hyper-parameter values and the computed AIC for each row (only the best 10s are returned)

Details

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.

See Also

selectLSTAR, selectNNET

Examples

llynx <- log10(lynx)
selectSETAR(llynx, m=2)
#Suggested model is the following:
setar(llynx, m=2, thDelay=1, th=3.4)