A note on certain integral equations associated with nonlinear time series analysis

DOI10.1007/BF01845999zbMath0579.45006OpenAlexW2021823338MaRDI QIDQ1067156

Kung-Sik Chan, Howell Tong

Publication date: 1986

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01845999

zbMATH Keywords

probability density functionexplicit solutionnon-linear time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Integral equations with miscellaneous special kernels (45H05)

Related Items (10)

Homogeneity tests for one-way models with dependent errors under correlated groups ⋮ On the Stationary Marginal Distributions of Subclasses of Multivariate Setar Processes of Order One ⋮ The Marginal Density of a TMA(1) Process ⋮ Unnamed Item ⋮ State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution ⋮ NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION ⋮ Unnamed Item ⋮ On nonlinear models for time series ⋮ Bispectral-Based Goodness-of-Fit Tests of Gaussianity and Linearity of Stationary Time Series ⋮ Testing time series linearity via goodness-of-fit methods

Cites Work

• A threshold AR(1) model
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• Unnamed Item

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