A STUDY OF THRESHOLD NONLINEAR AUTOREGRESSIVE MODELS

Masters Project Topics in Statistics

TOPIC:

A STUDY OF THRESHOLD NONLINEAR AUTOREGRESSIVE MODELS

Department: Statistics (M.Sc)

Format: MS Word

Chapters: 1 - 5, Preliminary Pages, References, Abstract

Pages Numbers: 68

Price: 5000 NGN

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Project Body

ABSTRACT 

This work examines Threshold Autoregressive models (TAR) on nonlinear time series. Linear models, such as ARIMA, reach their limitations with nonlinearities in the data. A self-exciting threshold autoregressive model was fitted along with an alternative ARIMA model. A simple log transform was applied to obtain stationarity and variance stabilization before the models were fit. Keenan, Tsay and likelihood ratio tests depict nonlinearity in the time series. The results of the residual analysis and the minimum Akaike Information criterion(MAIC) in the model estimation indicated that SETAR(2;3,2) with delay 1 is a better fit for Nigerian crude oil price than ARIMA(2,0,0).

Masters Project Topics in Statistics

A STUDY OF THRESHOLD NONLINEAR AUTOREGRESSIVE MODELS

Price: 5000 NGN

In Stock

Buy Now