A STUDY OF THE APPLICATION OF STATE-DEPENDENT MODELS IN NON-LINEAR TIME SERIES ANALYSIS

DOI10.1111/j.1467-9892.1984.tb00379.xzbMath0555.62071OpenAlexW1966915048MaRDI QIDQ3218966

V. Haggan, M. B. Priestley, Saeed M. Heravi

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1984.tb00379.x

zbMATH Keywords

threshold autoregressive modelsbilinear modelsstate-dependent modelsexponential autoregressive modelsnon-linear time series modelsnon-parameteric smoothing

Mathematics Subject Classification ID

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

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A recursive (on-line) identification of bilinear systems ⋮ A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS ⋮ Modelling and analysis of non-linear time series ⋮ Recent developments in time series forecasting ⋮ Current developments in time series modelling ⋮ Nonlinearity testing and modeling for threshold moving average models ⋮ Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models ⋮ Identification of Threshold Autoregressive Moving Average Models ⋮ Identification of the coefficients in a non-linear time series of the quadratic type

Cites Work

• Non-linear threshold autoregressive models for non-linear random vibrations
• Mathematical Description of Linear Dynamical Systems
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