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What is ARMA and SETAR Models for Sunspots about?

This document summarizes the modeling of sunspot data using autoregressive (AR) and self-exciting threshold autoregressive (SETAR) models. An AR(3) model is initially fit but does not capture nonlinearities in the data. A SETAR(2) model, allowing for two regimes with AR(3) processes in each, is then fit and found to have better fit statistics than the AR model. Dynamic predictions from the SETAR model also better track the actual data. Therefore, the SETAR model is better able to represent the cyclic nature

Author

Anthony Alarcón Moreno

Language

EN