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

(only showing first 100 items - show all)

• Inference and prediction in a multiple-structural-break model
• Threshold variable selection of asymmetric stochastic volatility models
• Dynamics of local search trajectory in traveling salesman problem
• First-order random coefficients integer-valued threshold autoregressive processes
• A local unit root test in mean for financial time series
• 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
• Fixed size confidence regions for parameters of threshold AR(1) models
• Evolutionary algorithm-based learning of fuzzy neural networks. II: Recurrent fuzzy neural networks
• On maximum likelihood estimators for a threshold autoregression
• State space reconstruction in the presence of noise
• Testing Linearity for Network Autoregressive Models
• 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
• A generalization of random matrix theory and its application to statistical physics
• 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
• 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
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Characteristic function based testing for conditional independence: a nonparametric regression approach
• Chaotic dynamics of a piecewise linear model of credit cycles
• Statistical analysis of multi-day solar irradiance using a threshold time series model
• A switching model with flexible threshold variable: with an application to nonlinear dynamics in stock returns
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• Bayesian subset selection for threshold autoregressive moving-average models
• Autoregressive density modeling with the Gaussian process mixture transition distribution
• Bayesian inference for order determination of double threshold variables autoregressive models
• Stationarity and geometric ergodicity of a class of nonlinear ARCH models
• Nonlinearity tests in time series analysis
• A Bayesian analysis of some threshold switching models
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Testing the functions defining a nonlinear autoregressive time series
• Bayesian automatic parameter estimation of threshold autoregressive (TAR) models using Markov chain Monte Carlo (MCMC)
• Bootstrapping threshold autoregressive models
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• The spatial-temporal lag model of matrix-valued time series and its application
• Self-excited hysteretic negative binomial autoregression
• Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs
• Modeling population dynamics: a quantile approach
• Bayesian analysis of multiple thresholds autoregressive model

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3928091)