A descriptive method to evaluate the number of regimes in a switching autoregressive model

作者：Olteanu Madalina^*

来源：Neural Networks, 2006, 19(6-7): 963-972.

DOI：10.1016/j.neunet.2006.05.019

• switching autoregressive models
• hierarchical clustering
• ward distance
• SOM

This paper proposes a descriptive method for an open problem in time series analysis: determining the number of regimes in a switching autoregressive model. We will translate this problem into a classification one and define a criterion for hierarchically clustering different model fittings. Finally, the method will be tested on simulated examples and real-life data.

• 出版日期2006-8