STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
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Publication:3960003
DOI10.1111/j.1467-9892.1980.tb00300.xzbMath0496.62076OpenAlexW2028725248WikidataQ56785561 ScholiaQ56785561MaRDI QIDQ3960003
Publication date: 1980
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00300.x
forecastingthreshold autoregressive modelsbilinear modelsstate-dependent modelsexponential autoregressive modelsnon-linear time series analysislinear analytic systemssequential type of recursive algorithm
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)
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Cites Work
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Volterra series and geometric control theory
- Bilinear control processes. With applications to engineering, ecology, and medicine
- Non-linear time series models for non-linear random vibrations
- Stochastic theory of minimal realization
- Vector linear time series models
- Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems
- Mathematical Description of Linear Dynamical Systems
- The asymptotic theory of linear time-series models
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