A descriptive method to evaluate the number of regimes in a switching autoregressive model.
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.
Olteanu
Madalina
M
SAMOS-MATISSE, Universite Paris I, 90 Rue de Tolbiac, 75013 Paris, France. madalina.olteanu@univ-paris1.fr
D000465:Algorithms; D000818:Animals; D016000:Cluster Analysis; D006801:Humans; D008390:Markov Chains; D008954:Models, Biological; D015233:Models, Statistical; D013997:Time Factors