Current developments in time series modelling
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A survey is given of some current developments in time series analysis. After a brief discussion of linear models, ARMA models and state-space representations, the discussion concentrates on a fairly general class of non-linear models called `state-dependent models' and the applications of these to the problem of identifying general forms of non-linear structure. The effectiveness of the estimation technique is studied by means of numerical examples on simulated data. Towards the end of the paper it is indicated how these ideas may be applied to the study of systems governed by non-linear differential equations.
Recommendations
Cites work
- A STUDY OF THE APPLICATION OF STATE-DEPENDENT MODELS IN NON-LINEAR TIME SERIES ANALYSIS
- An addendum to: Volterra series and geometric control theory
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- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
- On the invertibility of time series models
- Stochastic processes and filtering theory
- Stochastic theory of minimal realization
- The identification of polynomial systems by means of higher order spectra
Cited in
(73)- Time series in the time domain
- Recent developments in time series forecasting
- Estimating linear representations of nonlinear processes
- Higher-order statistics-based input/output system identification and application to noise cancellation
- Spectral analysis of randomly scattered signals using the wavelet transform
- Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
- Estimation of an autoregressive semiparametric model with exogenous variables
- Nonparametric time series regression
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Quenouille-type theorem on autocorrelations
- Regularized local linear prediction of chaotic time series
- A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
- The effects of temporal aggregation on tests of linearity of a time series.
- Possible determinism and the real world data
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Classifying trend movements in the MSCI U.S.A. capital market index -- a comparison of regression, ARIMA and neural network methods
- Spectral and wavelet methods for the analysis of nonlinear and nonstationary time series
- Strongly nonlinear stochastic processes in physics and the life sciences
- Improved bispectrum based tests for Gaussianity and linearity
- Recurrence plots revisited
- Response variability of stochastic frame structures using evolutionary field theory
- Stability of random coefficient ARCH models and aggregation schemes
- Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
- Komlós-Major-Tusnády approximation under dependence
- Asymptotic spectral theory for nonlinear time series
- Strong invariance principles for dependent random variables
- Analyzing multiple nonlinear time series with extended Granger causality
- Outliers in functional autoregressive time series
- A system approach to analysis of adequacy of nonlinear time series models
- Non-Gaussian positive-definite matrix-valued random fields for elliptic stochastic partial differential operators
- Statistical inference for time-varying ARCH processes
- Average Sampling Restoration of Harmonizable Processes
- Nonlinear stochastic differential equations: ARIMA models and applications
- A Class of Models for Aggregated Traffic Volume Time Series
- Modelling and analysis of non-linear time series
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- Measuring connectivity in linear multivariate processes: definitions, interpretation, and practical analysis
- Conditional Monte Carlo method for dynamic systems with random properties
- Change-point analysis in increasing dimension
- Detecting changes in functional linear models
- Characteristic function based testing for conditional independence: a nonparametric regression approach
- scientific article; zbMATH DE number 4001259 (Why is no real title available?)
- Semiparametric model building for regression models with time-varying parameters
- A high performance architecture for computing the time-frequency spectrum
- Seismic waves and correlation autoregressive processes
- Trigger-target rules and the dynamics of aggregate money holdings
- A generalization of some classical time series tools
- Discrete evolutionary transform for time-frequency signal analysis
- The local paradigm for modeling and control: From neuro-fuzzy to lazy learning
- On some classes of nonstationary parametric processes
- State-dependent vector hybrid linear and nonlinear ARMA modeling: Theory
- State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications
- Testing temporal constancy of the spectral structure of a time series
- Swarm-based translation-invariant morphological prediction method for financial time series forecasting
- A network approach for evaluating coherence in multivariate systems: an application to psychophysiological emotion data
- Accurate estimation of evolutionary power spectra for strongly narrow-band random fields
- Large deviations for quadratic forms of locally stationary processes
- Stochastic processes evolutionary spectrum estimation via harmonic wavelets
- Local linear quantile estimation for nonstationary time series
- Recursive estimation of time-average variance constants
- Sampling properties of \(U\)-statistics for a class of stationary nonlinear processes
- Modeling nonlinear processes with generalized autoregressions
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Confidence bands in nonparametric time series regression
- Note on optimization of individual psychotherapeutic processes
- Weakly dependent functional data
- Exploring the dynamics of dyadic interactions via hierarchical segmentation
- Parameter identification in noisy extended systems: a hydrodynamic case
- A note on the invertibility of nonlinear ARMA models
- Non-stationary structural model with time-varying demand elasticities
- \(M\)-estimation of linear models with dependent errors
- Analysis of mean and mean square response of general linear stochastic finite element systems
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