A Smooth Transition Model for Multiple-Regime Time Series

DOI10.1109/TSP.2012.2234745MaRDI QIDQ4578508zbMATH OpenOpenAlexFDO

Authors Matthieu Sanquer, Florent Chatelain, Mabrouka El-Guedri, Nadine Martin

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2012.2234745

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(5)

• ``Universal fitting function for complex systems: case of the short samplings
• Using Smooth Transition Regressions to Model Risk Regimes
• A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
• Regime switching models for circular and linear time series
• scientific article; zbMATH DE number 2129955 (Why is no real title available?)

This page was built for publication: A Smooth Transition Model for Multiple-Regime Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4578508)