NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION

DOI10.1111/j.1467-9892.1990.tb00040.xzbMath0691.62084OpenAlexW2048848226MaRDI QIDQ3033165

Howell Tong, R. Moeanaddin

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00040.x

zbMATH Keywords

integral equationeigenvaluesnonlinear autoregressive modelSETAR modelsEXPAR modelsChapman-Kolmogorov formulaGauss-type formulam-step-ahead conditional densitymatrix-squaring procedureNAG subroutinestationary marginal probability density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Approaches for multi-step density forecasts with application to aggregated wind power ⋮ On extrapolation in some non-linear ar(1) processes ⋮ Theory and inference for a Markov switching GARCH model ⋮ A nonlinear autoregressive conditional duration model with applications to financial transaction data ⋮ Unnamed Item ⋮ Bayesian analysis of threshold autoregressions

Cites Work

• Threshold models in non-linear time series analysis
• A note on certain integral equations associated with nonlinear time series analysis
• Unnamed Item

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