Threshold Autoregression, Limit Cycles and Cyclical Data

Summary The notion of a limit cycle, which can only exist in a non-linear system, plays the key role in the modelling of cyclical data. We have shown that the class of threshold autoregressive models is general enough to capture this notion, a definition of which in discrete time is proposed. The threshold value has an interesting interpretation. Simulation results are presented which demonstrate that this new class of models exhibits some well-known features of non-linear vibrations. Detailed analyses of several real data sets are discussed.