Chapter 10 Random Walk Smooth Transition Autoregressive Models

DOI10.1016/S0573-8555(05)76010-7MaRDI QIDQ5294110zbMATH OpenOpenAlexFDO

Authors

Publication date 23 July 2007

Published in Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0573-8555(05)76010-7

zbMATH Keywords

Kalman filter

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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• A unified approach to nonlinearity, structural change, and outliers
• On the second-order random walk model for irregular locations
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