SETAR-Tree: A Novel and Accurate Tree Algorithm for Global Time Series Forecasting
SETAR-Tree:用于全局时间序列预测的新型树算法
Threshold Autoregressive (TAR) models have been widely used by statisticians for non-linear time series forecasting during the past few decades, due to their simplicity and mathematical properties. On the other hand, in the forecasting community, general-purpose tree-based regression algorithms (forests, gradient-boosting) have become popular recently due to their ease of use and accuracy. In this paper, we explore the close connections between TAR models and regression…