Nonlinear ARMA models with functional MA coefficients

DOI10.1111/J.1467-9892.2008.00594.XMaRDI QIDQ3552863zbMATH OpenOpenAlexFDO

Authors Hai-Bin Wang

Publication date 22 April 2010

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00594.x

zbMATH Keywords

back-fitting algorithmbilinear modelbootstrapgeneralized cross-validationlocal linear regressiontime series

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Threshold models in non-linear time series analysis

Cited in

(9)

• Adding data process feedback to the nonlinear autoregressive model
• Functional coefficient autoregressive models: estimation and tests of hypotheses
• A class of nonparametric ARMA models
• A diagnostic statistic for functional-coefficient autoregressive models
• Bayesian inference of autoregressive and functional-coefficient moving average models
• On the complex dynamics of functional-coefficients nonlinear autoregressive time series models
• The stationarity and invertibility of a class of nonlinear ARMA models
• Tensorial products of functional ARMA processes
• A generalization of the ARIMA model to the nonlinear and continuous cases

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