scientific article; zbMATH DE number 3742453

MaRDI QIDQ3928091zbMATH OpenFDO

Authors

Publication date 1980

zbMATH Keywords

stabilityinformation criterionnon-linear vibrationstime irreversibilityHouseholder transformationsnon-linear time series modelsnon-linear autoregressioneventual forecasting function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Cited in

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• Adaptive estimation of the threshold point in threshold regression
• Smooth transition quantile capital asset pricing models with heteroscedasticity
• A simulation study of artificial neural networks for nonlinear time-series forecasting
• Feature matching in time series modeling
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
• A new approach to model financial markets
• A self-exciting threshold jump-diffusion model for option valuation
• Local unit roots and global stationarity of TARMA models
• On a threshold autoregression with conditional heteroscedastic variances
• Current developments in time series modelling
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Estimation in nonlinear time series models
• Semiparametric estimation for seasonal long-memory time series using generalized exponential models
• Threshold models in time series analysis -- some reflections
• Forecasting performance of exponential smooth transition autoregressive exchange rate models
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Bayesian prediction in threshold autoregressive models with exponential white noise
• Bispectral-based methods for clustering time series
• Quantile self-exciting threshold autoregressive time series models
• A Bayesian conditional autoregressive geometric process model for range data
• Small sample properties of the conditional least squares estimator in SETAR models
• An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• Estimation of high dimensional factor model with multiple threshold-type regime shifts
• Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Prediction of predator-prey populations modelled by perturbed ODEs
• A Bayesian analysis of generalized threshold autoregressive models
• Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
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• On maximum likelihood estimators for a threshold autoregression
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• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• Threshold factor models for high-dimensional time series
• Extremes of autoregressive threshold processes
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• Selecting nonlinear time series models using information criteria
• Estimation in threshold autoregressive models with a stationary and a unit root regime
• Estimation of a multiple-threshold \(AR(p)\) model
• Forecasting with univariate TAR models
• Estimation and model selection based inference in single and multiple threshold models.
• Using threshold autoregressive models to study dyadic interactions
• Order selection in nonlinear time series models with application to the study of cell memory
• Convolutional autoregressive models for functional time series
• Testing linearity against threshold effects: uniform inference in quantile regression
• Option pricing with threshold diffusion processes
• Qualitative threshold ARCH models
• Data science, big data and statistics
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• Assessing DSGE model nonlinearities
• A floor and ceiling model of US output
• A model of portfolio optimization using time adapting genetic network programming
• Time series prediction based on data compression methods
• Testing for nonlinearity in time series: the method of surrogate data
• A hidden Markov regime-switching smooth transition model
• Asset allocation under threshold autoregressive models
• A location-mixture autoregressive model for online forecasting of lung tumor motion
• Nonlinear regime-switching state-space (RSSS) models
• Least squares estimation of large dimensional threshold factor models
• Pricing European vanilla options under a jump-to-default threshold diffusion model
• The ARMA alphabet soup: a tour of ARMA model variants
• An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
• Estimating linear representations of nonlinear processes
• Using genetic algorithms to parameters \((d,r)\) estimation for threshold autoregressive models
• Numerical issues in threshold autoregressive modeling of time series
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
• Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
• Modelling asymmetric behaviour in time series: identification through PSO
• Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
• A multivariate threshold stochastic volatility model
• A double-threshold GARCH model of stock market and currency shocks on stock returns
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Large sample inference for conditional exponential families with applications to nonlinear time series
• Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Estimation and inference of threshold regression models with measurement errors
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• An exponential autoregressive model for the forecasting of annual sunspots number
• Does a meta-combining method lead to more accurate forecasts in the decision-making process?
• On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
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• Structural clustering of volatility regimes for dynamic trading strategies
• DNA optimization threshold autoregressive prediction model and its application in ice condition time series
• A trend-switching financial time series model with level-duration dependence
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

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