Multi-regime models for nonlinear nonstationary time series
From MaRDI portal
Publication:2512790
DOI10.1007/s00180-011-0259-zzbMath1304.65016MaRDI QIDQ2512790
Mattheos K. Protopapas, Francesco Battaglia
Publication date: 30 January 2015
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-011-0259-z
62-08: Computational methods for problems pertaining to statistics
Related Items
Modelling Asymmetric Behaviour in Time Series: Identification Through PSO, A Bayesian multiple structural change regression model with autocorrelated errors, A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series, An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models, Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Contemporaneous threshold autoregressive models: estimation, testing and forecasting
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Genetic algorithms and their statistical applications: an introduction
- Differential evolution. A practical approach to global optimization. With CD-ROM.
- Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
- Testing the constancy of regression parameters against continuous structural change
- Misspecified structural change, threshold, and Markov-switching models.
- Subset ARMA Model Identification Using Genetic Algorithms
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- Evolutionary Statistical Procedures
- Autoregressive processes with data-driven regime switching
- A Tukey nonadditivity-type test for time series nonlinearity
- Nonlinearity tests for time series
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Estimating and Testing Linear Models with Multiple Structural Changes
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Functional-Coefficient Autoregressive Models
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Time-varying multi-regime models fitting by genetic algorithms
- Structural Break Estimation for Nonstationary Time Series Models
- Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
