SETAR.fit

SETAR.fit()

Estimate the threshold, the delay, and both regimes by grid search.

Return type:

SETARResult

Returns:

The fitted two-regime autoregression.

Raises:

NumericalError – If no candidate split leaves both regimes with at least order + 2 observations.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> y = np.zeros(300)
>>> for t in range(1, 300):
...     y[t] = (0.6 if y[t - 1] <= 0.0 else -0.4) * y[t - 1] + rng.standard_normal()
>>> res = SETAR(y, order=1, delay=1).fit()
>>> res.self_exciting, bool(res.lower_params[1] > res.upper_params[1])
(True, True)