Published

2008-07-01

MODELO FACTORIAL DINÁMICO THRESHOLD

THRESHOLD DYNAMIC FACTOR MODEL

Keywords:

series de tiempo no lineales, análisis factorial, modelo threshold, algoritmo EM, filtro de Kalman (es)
Nonlinear time series, Factor analysis, Threshold model, EM algorithm, Kalman filter (en)

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Authors

  • María Elsa Correal Universidad de los Andes
  • Daniel Peña Universidad Carlos III de Madrid
En este artículo se introduce el modelo factorial dinámico threshold, el cual permite analizar sistemas de series temporales que presenten comportamientos no lineales del tipo umbral. Se propone un método de estimación que combina el algoritmo EM con un procedimiento de búsqueda directa utilizando los algoritmos del filtro y de suavización de Kalman. El procedimiento estima factores comunes con comportamientos que cambian de régimen de acuerdo con una variable umbral.
This paper introduces a threshold dynamic factor model for the analysis of vector time series which shows non-linear behavior of threshold type. We propose an estimation procedure combining an EM algorithm with a grid search procedure by the ways of the Kalman filter and smoothing recursions. We estimate common latent threshold factors that may explain the dynamic relationships within the group of variables.

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Copyright (c) 2008 Revista Colombiana de Estadística

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