KYBERNETIKA

Kybernetika 40(1):143-150, 2004.

Regime-switching Models of Time Series with Cubic Spline Transition Function in Geodetic Application

Tomáš Bognár, Jozef Komorník and Magda Komorníková

Abstract:

A new class of Smooth Transition Autoregressive models, based on cubic spline type transition functions, has been introduced and subjected to comparison with models based on the traditional logistic transition functions. A very high degree of similarity between the two model classes has been demonstrated.

The new class of models can be slightly preferable because of its more simple formal and geometrical structure that may enable users more convenient manipulation in statistical inference procedures.

Keywords: time series; regime-switching autoregressive models; logistic and cubic-spline transition functions;

AMS: 62M10;