An alternative sequential method for the state estimation of a partially observed SETAR(1) process

• Type: Article in International Scientific Journal
• Date: 2022

Authors

Paula Milheiro de Oliveira (Author) FEUP

Journal

The Journal is awaiting validation by the Administrative Services.

Title: STATISTICS & PROBABILITY LETTERS

Vol. 184

Pages: 1-7

ISSN: 0167-7152

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Other information

Authenticus ID: P-00W-3WC

DOI: 10.1016/j.spl.2022.109385

Abstract (EN): We discuss a novel sequential test based on the quadratic variation of the observations to decide which regime governs the dynamics of the non-observed process in a filtering problem with small observation noise. The non-observed state process is a self-exciting threshold autoregressive process of order one (SETAR(1)) with two regimes. The observation function is not one-to-one. The proposed procedure performs well and may be competitive in some applications.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 7