TAR / SETAR
TAR and SETAR are nonlinear autoregressive models introduced by Howell Tong (1990) that allow a time series to follow different linear dynamics in distinct regimes, separated by one or more threshold values. SETAR is the self-exciting variant, in which the threshold variable is a lagged value of the series itself, making it particularly suited to cycles, asymmetric adjustment, and limit-cycle behavior observed in economic and financial data.
Source record
Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.
- Tong, H. (1990). Non-linear Time Series: A Dynamical System Approach. Oxford University Press. · ISBN 978-0-19-852300-6
Curated claims
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Related methods
Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.