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

Authors:
Madalina Olteanu
Affiliations:
SAMOS-MATISSE, Universite Paris I, Paris, France
Venue:
Neural Networks - 2006 Special issue: Advances in self-organizing maps--WSOM'05
Year:
2006

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Abstract

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.