A descriptive method to evaluate the number of regimes in a switching autoregressive model. (English) Zbl 1102.68576
Summary: This paper proposes a descriptive method for an open problem in time series analysis: determining the number of regimes in a switching autoregressive model. We will translate this problem into a classification one and define a criterion for hierarchically clustering different model fittings. Finally, the method will be tested on simulated examples and real-life data.
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