Abstract
Linear autoregressive models and non-linear threshold autoregressive (TAR) models are used in the present work to describe the time series of the significant wave height of sea-states at Figueira da Foz, located in the Portuguese coast. The seasonal components of this series are identified and a TAR model with two regimes is proposed. A simulation study was carried out with the purpose of verifying if both the non-linear and linear models are suited to describe the probabilistic structure of the process. It is shown that both methods are adequate to describe the lower statistical moments of the original data, but the non-linear model represents better the skewness and the kurtosis of the data.
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