Invertibility of non-linear time series models

DOI10.1080/03610929508831644MaRDI QIDQ4337095zbMATH OpenOpenAlexFDO

Authors Jan G. De Gooijer, Kurt Brännäs

Publication date 10 November 1997

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929508831644

zbMATH Keywords

additive smooth transition moving average modelasymmetric moving average modelbilinear modelforecastingself-exciting threshold moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• On the first-order bilinear time series model
• On the invertibility of time series models
• On threshold moving-average models
• Stationarity and invertibility of simple bilinear models
• Theory of Bilinear Time Series Models

Cited in

(6)

• Asymmetric vector moving average models: estimation and testing
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE
• scientific article; zbMATH DE number 6423925 (Why is no real title available?)
• scientific article; zbMATH DE number 4184811 (Why is no real title available?)
• A note on the invertibility of nonlinear ARMA models

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