Abstract
Abstract. In this paper we define subset threshold autoregressive models and suggest a simple algorithm for fitting them. The suggested algorithm is applied to simulated as well as real data. Two well‐known time series are studied:the Canadian lynx data and Wolf's sunspot numbers. The fitted models are compared with the threshold models of Tong and Lim and with the subset bilinear models of Gabr and Subba Rao. Some statistical properties of these models are also studied. An examination of forecasting performance is included.
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