scientific article; zbMATH DE number 3742453

MaRDI QIDQ3928091zbMATH OpenFDO

Authors

Publication date 1980

zbMATH Keywords

eventual forecasting functionHouseholder transformationsinformation criterionnon-linear autoregressionnon-linear time series modelsnon-linear vibrationsstabilitytime irreversibility

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) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cited in

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• Using threshold autoregressive models to study dyadic interactions
• A Bayesian analysis of some threshold switching models
• Estimation in nonlinear time series models
• Current developments in time series modelling
• Estimating linear representations of nonlinear processes
• State space reconstruction in the presence of noise
• Qualitative threshold ARCH models
• On maximum likelihood estimators for a threshold autoregression
• Large sample inference for conditional exponential families with applications to nonlinear time series
• Nonlinear modeling and prediction by successive approximation using radial basis functions
• Looking for evidence of speculative stockholding in commodity markets
• On a threshold autoregression with conditional heteroscedastic variances
• A floor and ceiling model of US output
• Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares
• Forecasting with computer-evolved model specifications: A genetic programming application.
• Intrinsic chaos and external noise in population dynamics
• Small sample properties of the conditional least squares estimator in SETAR models
• Sequential point estimation of parameters in a threshold AR(1) model
• Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
• M-estimates of autoregression with random coefficients
• Self-exciting threshold binomial autoregressive processes
• Double generalized threshold models with constraint on the dispersion by the mean
• Assessing DSGE model nonlinearities
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Temporal clustering of time series via threshold autoregressive models: application to commodity prices
• Clustering nonlinear, nonstationary time series using BSLEX
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• Chaotic dynamics of a piecewise linear model of credit cycles
• A nonlinear time series approach to modelling asymmetry in stock market indexes
• An integer-valued threshold autoregressive process based on negative binomial thinning
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• An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models
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• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
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• Frequent or systematic changes? Discussion on ``Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection.
• Penalized estimation of threshold auto-regressive models with many components and thresholds
• Spatial quantile estimation of multivariate threshold time series models
• Self-excited hysteretic negative binomial autoregression
• Asymptotic properties of conditional least-squares estimators for array time series
• Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
• Threshold variable selection of asymmetric stochastic volatility models
• Data science, big data and statistics
• Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Threshold factor models for high-dimensional time series
• First-order random coefficients integer-valued threshold autoregressive processes
• A skew-normal dynamic linear model and Bayesian forecasting
• Change-point problems: bibliography and review
• Modeling population dynamics: a quantile approach
• Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
• Bayesian analysis of multiple thresholds autoregressive model
• Prediction of predator-prey populations modelled by perturbed ODEs
• Unit root testing in presence of a double threshold process
• A new nonlinearity test to circumvent the limitation of Volterra expansion with application
• Frequentist model averaging for threshold models
• Forecasting performance of exponential smooth transition autoregressive exchange rate models
• A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
• Nonlinear regime-switching state-space (RSSS) models
• SETAR model selection -- a bootstrap approach
• Dynamics of local search trajectory in traveling salesman problem
• Multi-regime models for nonlinear nonstationary time series
• Bayesian subset selection for threshold autoregressive moving-average models
• An empirical study on the parsimony and descriptive power of TARMA models
• Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms
• Information criteria for nonlinear time series models
• Estimation and inference of threshold regression models with measurement errors
• A hidden Markov regime-switching smooth transition model
• Bayesian subset selection for two-threshold variable autoregressive models
• Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
• Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates
• State-domain change point detection for nonlinear time series regression
• Times series models with thresholds
• Contemporaneous threshold autoregressive models: estimation, testing and forecasting
• Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model
• Transformed polynomials for nonlinear autoregressive models of the conditional mean
• A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
• An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
• Identification of TAR models using recursive estimation
• Selecting nonlinear time series models using information criteria
• Convolutional autoregressive models for functional time series
• Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
• Bootstrapping threshold autoregressive models
• A self-exciting threshold jump-diffusion model for option valuation
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
• Nonlinearity tests in time series analysis

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