A0337
Title: Functional threshold autoregressive model
Authors: Yuanbo Li - University of International Business and Economics (China) [presenting]
Kun Chen - Southwestern University of Finance and Economics (China)
Chun Yip Yau - Chinese University of Hong Kong (Hong Kong)
Abstract: A functional threshold autoregressive model is proposed for flexible functional time series modeling. In particular, the behavior of a function at a given time point can be described by different autoregressive mechanisms depending on the values of a threshold variable at a past time point. Sufficient conditions for the strict stationarity and ergodicity of the functional threshold autoregressive process are investigated. A novel criterion-based method is developed simultaneously, conducting dimension reduction and estimating the thresholds, autoregressive orders, and model parameters. The consistency and asymptotic distributions of the estimators of both thresholds and the underlying autoregressive models are also established. Simulation studies and an application to U.S. Treasury zero-coupon yield rates are provided to illustrate the effectiveness and usefulness of the proposed methodology.
